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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 …-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 … improvement over several benchmarks and generate economic value by boosting returns, improving the certainty equivalent return …

Persistent link: https://www.econbiz.de/10012416151

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

When the market drives you crazy : stock market returns and fatal car accidents

Giulietti, Corrado; Tonin, Mirco; Vlassopoulos, Michael - 2018

in daily stock market returns is associated with a 0.5% increase in the number of fatal accidents. A battery of …

Persistent link: https://www.econbiz.de/10011888614

Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some …-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before … the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different …

Persistent link: https://www.econbiz.de/10012390869

Prediction markets, the true value of the revolving door, and the US cabinet

Koch, Benjamin; Lüchinger, Simon; Moser, Christoph - 2024

We estimate the value of the revolving door for firm executives and directors joining the cabinets of the Trump I and Biden administrations. By combining intraday stock and prediction market data, we take the degree of anticipation of political appointments into account and we offer estimates...

Persistent link: https://www.econbiz.de/10015164602

Seven pitfalls of technical analysis

Caporale, Guglielmo Maria; Plastun, Alex - 2023

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Persistent link: https://www.econbiz.de/10013489574

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset …

Persistent link: https://www.econbiz.de/10003898817

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … ; weekly returns ; multivariate t ; financial interdependence ; VaR diagnostics ; 2008 stock market crash …

Persistent link: https://www.econbiz.de/10003965868

Terrorist attacks and financial markets

Bonekamp, Bas; Veen, Tom van - 2017

This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...

Persistent link: https://www.econbiz.de/10011602465

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011458018