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Is implied volatility index (VIX) a forward-looking indicator of stock market movements in India?
Acharya, Amarendra; Seet, Subrat Kumar; Salvi, Prakash A. - 2022
Persistent link: https://www.econbiz.de/10013402152
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Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
Suliga, Milena - In: Managerial economics 24 (2023) 1, pp. 39-82
Persistent link: https://www.econbiz.de/10014556686
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Using neural networks to enhance technical trading rule returns : a case with KLCI
Jacinta Chan Phooi M'ng; Azmin Azliza Aziz - In: Athens journal of business & economics : AJBE 2 (2016) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10011565193
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A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures
Butler, Kirt C.; Gerken, William Christopher; Okada, … - 2016
Long memory is found in the conditional volatilities of financial returns measured at daily or higher frequencies, as well as in residual cross-products in bivariate series. We test for long memory in conditional correlations by extending the fractionally integrated GARCH model to include...
Persistent link: https://www.econbiz.de/10014179077
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The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market
Qin, Rong-Yuan - 2017
This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis,...
Persistent link: https://www.econbiz.de/10012944228
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Uncovering the effect of news signals on daily stock market performance : an econometric analysis
Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...
Persistent link: https://www.econbiz.de/10014419406
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Analysis of market efficiency and fractal feature of NASDAQ stock exchange : time series modeling and forecasting of stock index using ARMA-GARCH model
Arashi, Mohammad; Rounaghi, Mohammad Mahdi - In: Future Business Journal 8 (2022), pp. 1-12
The multi-fractal analysis has been applied to investigate various stylized facts of the financial market including market efficiency, financial crisis, risk evaluation and crash prediction. This paper examines the daily return series of stock index of NASDAQ stock exchange. Also, in this study,...
Persistent link: https://www.econbiz.de/10013273743
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A monthly stock exchange index for Ireland, 1864 - 1930
Grossman, Richard S.; Lyons, Ronan C.; O'Rourke, Kevin … - 2013
Persistent link: https://www.econbiz.de/10010365727
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Dynamic connectedness between indicators of the Ghana stock exchange returns and macroeconomic fundamentals
Idun, Anthony Adu Asare; Asafo-Adjei, Emmanuel; Adam, … - In: Risks : open access journal 10 (2022) 11, pp. 1-31
The performance of the Ghana Stock Exchange (GSE) over the years has been susceptible to both crises and country-specific factors reflected in its macroeconomic fundamentals. Accordingly, the GSE composite index (GSECI) has experienced rapid fluctuations across time, coupled with a declining...
Persistent link: https://www.econbiz.de/10014228832
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The role of oil futures intraday information on predicting US stock market volatility
Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …
Persistent link: https://www.econbiz.de/10013206077