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Witching Days and Abnormal Profits in the US Stock Market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10013323081

Using Machine Learning for Measuring Democracy : An Update

Gründler, Klaus; Krieger, Tommy - 2021

We provide a comprehensive overview of the literature on the measurement of democracy and present an extensive update … improvements are particularly notable: First, we produce a continuous and a dichotomous version of the Machine Learning democracy … conceptualization of the Machine Learning Index. Finally, we largely expand the data coverage by providing democracy indicators for 186 …

Persistent link: https://www.econbiz.de/10013244246

Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market

Caporale, Guglielmo Maria - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...

Persistent link: https://www.econbiz.de/10012838240

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012845690

Persistence in the Russian Stock Market Volatility Indices

Caporale, Guglielmo Maria - 2018

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

Persistent link: https://www.econbiz.de/10012908651

The Relevance of Banks to the European Stock Market

Kick, Andreas; Rottmann, Horst - 2022

Banks have always played an ambivalent role in ﬁnancial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...

Persistent link: https://www.econbiz.de/10014083474

Persistence in ESG and Conventional Stock Market Indices

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10013225332

Long Run and Cyclical Dynamics in the U.S. Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10013316966

Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras

Wadud, Sania; Durand, Robert B. B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10013218287

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