Similar Search Results

Information, Trading, and Volatility : Evidence from Firm-Specific News

Boudoukh, Jacob - 2017

What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …

Persistent link: https://www.econbiz.de/10012974737

Does information environment affect information spillover between the CDS and stock markets in Korea?

Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 145-158

This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on … information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS … sensitive total information flow from the stock market to the CDS market. Companies with lower transaction costs in the CDS …

Persistent link: https://www.econbiz.de/10015055028

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10010468362

A Conditional Capital Asset Pricing Model for Maritime Firms : Empirical Evidence from the Us Stock Market

Erdogan, Oral - 2012

This study focuses on the valuation of maritime companies. By using Erdogan's (1996) modified capital asset pricing approach for maritime firms, Bollerslev's (1986) General Auto Regressive Conditional Heteroskedasticity Model (GARCH) is adapted along with including the freight market effect in...

Persistent link: https://www.econbiz.de/10013108652

Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times

Junttila, Juha-Pekka - 2017

We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...

Persistent link: https://www.econbiz.de/10012963146

Predictability in Sovereign Bond Returns Using Technical Trading Rules : Do Developed and Emerging Markets Differ?

Fong, Tom - 2019

The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading rules. These rules represent four popular trading rule classes, they are: moving average, filtering, support and resistance, and channel breakout rules, with numerous variants in...

Persistent link: https://www.econbiz.de/10012895038

Forecasting Stock Returns in Good and Bad Times : The Role of Market States

Huang, Dashan - 2017

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...

Persistent link: https://www.econbiz.de/10012974764

Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets

Duppati, Geeta - 2016

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Persistent link: https://www.econbiz.de/10013003892

Machine Learning and the Stock Market

Brogaard, Jonathan - 2020

Practitioners allocate substantial resources to technical analysis whereas academic theories of market efficiency rule out technical trading profitability. We study this long-standing puzzle by designing a machine learning algorithm to search for profitable technical trading rules while...

Persistent link: https://www.econbiz.de/10012851577

BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets

Low, Rand Kwong Yew - 2016

Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or …

Persistent link: https://www.econbiz.de/10012989660

1
2
3
4
5
6
7
8
9
10
Next
Last