The purchase of Hang Seng Index component stocks by the Hong Kong government has an immediate effect of reducing the daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market. However, once we account for the effect of a decline in...

The purchase of Hang Seng Index component stocks by the Hong Kong government has an immediate effect of reducing the daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market. However, once we account for the effect of a decline in...

In this article, we use the dual long memory properties to assess the value-at-risk and expected shortfall for the Argentinean stock market under both short and long daily trading positions. We attempt to show whether considering for long memory properties in both the returns and volatility,...

Several studies have been employed to discuss the link between weather and market returns. However, our research is different in three ways. We employed in tropical country, added extreme condition, and covering the entire Indonesia weather proportionally. This paper revisits the weather-induced...

It is important to identify the effects of stock prices on financial and macroeconomic variables when the development of capital markets is concerned. In this study, AB type-SVAR models are employed, whereupon impulse response functions (IRFs) and forecast error variance decompositions (FEVDs)...

This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the classical mean-variance method. We apply two approaches:...