Similar Search Results

Do Artificial Neural Networks Provide Improved Volatility Forecasts : Evidence from Asian Markets

Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos S - 2021

Forecasts of stock market volatility is an important input for market participants in measuring and managing investment risks. Thus, understanding the most appropriate methods to generate accurate is key. This paper examines the ability of Machine Learning methods, and specifically Artificial...

Persistent link: https://www.econbiz.de/10013310404

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011456764

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

Persistent link: https://www.econbiz.de/10011458018

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market …

Persistent link: https://www.econbiz.de/10011487829

The weekend effect : an exploitable anomaly in the Ukrainian stock market?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10010488267

Stock Market Fundamentals and Bubbles : Implications for Prices, GDP and Consumption

McMillan, David G. - 2010

This paper examines the cointegrating relationships between UK quarterly stock prices, stock price fundamentals, GDP and consumption. Evidence reported supports cointegration between these four-variables, with results indicating three cointegrating vectors, or a single common stochastic trend....

Persistent link: https://www.econbiz.de/10013136803

Does the Stock Market Predict Macro-Variables?

McMillan, David G. - 2018

proxies for stock market risk do reveal predictive power. Such information provides a leading role indicator for the …

Persistent link: https://www.econbiz.de/10012909203

Predicting GDP Growth with Stock and Bond Markets : Do They Contain Different Information?

McMillan, David G. - 2019

distinct predictive information. Notably, predictive power emanating from the stock return series appears stronger over shorter … information content for future output growth. This view is further supported by forecast results whereby a model that includes … stock returns contain additional information over that presented by the term structure alone …

Persistent link: https://www.econbiz.de/10012891593

Interrelation and Spillover Effects Between Stocks and Bonds : Cross-Market and Cross-Asset Evidence

McMillan, David G. - 2019

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

Persistent link: https://www.econbiz.de/10012892340

Average Skewness in Global Equity Markets

Atilgan, Yigit - 2020

This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by Jondeau et al. (2019, JFE) for US market returns in an international setting. First, after confirming the validity of the US results for the sample period...

Persistent link: https://www.econbiz.de/10012822514