This study provides evidence for the predictive power of the open-period returns for the returns of the rest of the trading day. Using the first two consecutive 5-minute periods after the opening as observation points from which to determine the trading direction, this study examines whether the...

The study investigates the relative performance of Value-at-Risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10years from January 01, 2000 to December 31, 2009. The main emphasis of the study has been...

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

Based on the specification of the Conditional Autoregressive Range (CARR) model, we provide a framework that makes use of volatility based on the high and the low of daily prices separately to model the dynamic behavior of the conditional Rogers and Satchell (1991) estimator called herein the...

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

This paper empirically investigates and provides further support for the oil price effect documented in Driesprong et al. (2008) in the U.S. industry-level returns. We find that oil price predictability is concentrated in a relatively small number of industry-level returns, the relevant measure...

This study evaluates the Federal Reserve and private forecasts of growth in corporate profits for 1984–2004. These forecasts are both rational and directionally accurate but suggest different loss structures. The Federal Reserve forecasts tend to significantly under-predict and imply...

This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. Based on the results of our event study, we document prominent volatility...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...