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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

Persistent link: https://www.econbiz.de/10009673701

Momentum in the Tunisian stocks returns : identification of some risk factors

Zoghlami, Faten - In: Journal of applied finance & banking 1 (2011) 2, pp. 207-229

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

Persistent link: https://www.econbiz.de/10009536150

Common information-processing irrationality as trade creator

Klishchuk, Bogdan - 2020

We show that a common (identical across investors) irrationality in information processing can be enough to create …), make investment horizon age-independent, and keep all information complete. The common irrationality in our model takes the … form of a somewhat non-Bayesian information processing. The resulting trade between such essentially identical individuals …

Persistent link: https://www.econbiz.de/10012266529

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

Persistent link: https://www.econbiz.de/10009625556

Does subprime crisis affect Chinese stock market returns?

Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Persistent link: https://www.econbiz.de/10009741543

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

Short and long-term effects of September 11 on stock returns : evidence from US defense firms

Essadam, Naceur; Douch, Mohamed - In: Journal of applied finance & banking 3 (2013) 3, pp. 239-253

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...

Persistent link: https://www.econbiz.de/10009743349

Regional and international causal linkages : evidence from CEE stock markets

Stoica, Ovidiu; Diaconaşu, Delia-Elena - In: Journal of applied finance & banking 3 (2013) 2, pp. 109-121

information we employ two econometric models which are estimated in framework of maximum likelihood, GARCH, and vector …

Persistent link: https://www.econbiz.de/10009743497

Stock market analysis in practice : is it technical or fundamental?

Cohen, Gil; Kudryavtsev, Andrey; Hon-Sir, Shlomit - In: Journal of applied finance & banking 1 (2011) 3, pp. 124-138

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

Persistent link: https://www.econbiz.de/10009537793