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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
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Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices
Caporale, Guglielmo Maria - 2019
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012866377
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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model …This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10012871648
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Asymmetry in volatility: A comparison of developed and transition stock markets
Wdowiński, Piotr; Malecka, Marta - 2010
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
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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
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Liberalization and Stock Market Co-Movement between Emerging Economies
Beine, Michel A. R.; Candelon, Bertrand - 2021
reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …
Persistent link: https://www.econbiz.de/10013316796
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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
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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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
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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 from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...
Persistent link: https://www.econbiz.de/10012891049