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High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

Aggregate Insider Trading and Stock Market Volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014347820

Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

Persistent link: https://www.econbiz.de/10012891049

Persistence in the Russian Stock Market Volatility Indices

Caporale, Guglielmo Maria - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

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

The Impact of the COVID-19 Pandemic on Persistence in the European Stock Markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

, though their volatility persistence has decreased …

Persistent link: https://www.econbiz.de/10013322780

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

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

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Persistent link: https://www.econbiz.de/10013235116

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 … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

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