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Impact of Weather on Return and Volatility : Evidence from Indian Stock Market
Narayanamoorthy, Vijayakumar - 2016
This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses … in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata … the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January …
Persistent link: https://www.econbiz.de/10013004024
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Does weather still affect the stock market? : new insights into the effects of weather on returns, volatility and trading volume
Muhlack, Nils; Soost, Christian; Henrich, Christian Johannes - In: Schmalenbach journal of business research : SBUR 74 (2022) 1, pp. 1-35
pressure, precipitation, temperature, and wind speed as weather variables. We use stock market data (returns, trading volume …This paper examines the impact of weather phenomena on the German stock market, evaluating cloud cover, humidity, air …, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time …
Persistent link: https://www.econbiz.de/10013199375
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Testing weather effect anomalies : time varying evidence from selected stock markets
Zeren, Feyyaz; Gumus, Fatih Burak - In: International journal of economic perspectives : IJEP 9 (2015) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10011579201
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Nonlinear effects of temperature on returns and investor optimism-pessimism from winner and loser stocks
Huang, Chai-liang; Sugianto, Lai Ferry; Yun, Mu Shu - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-76
Persistent link: https://www.econbiz.de/10014305133
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619
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The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market
Lihn, Stephen H.T. - 2009
is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … underlying capital distribution is the fundamental driving force of the bull-bear market cycles and the market volatility in the …
Persistent link: https://www.econbiz.de/10013159227
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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Heavy-Tailed Distributions, GARCH Model and the Stock Market Returns in South Korea
Hong, Yoon - 2017
returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG …
Persistent link: https://www.econbiz.de/10012950335
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023
Persistent link: https://www.econbiz.de/10014448099