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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

Price discovery in Canadian and US 10-year government bond markets

Campbell, Bryan (contributor); Hendry, Scott (contributor) - 2007

-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds …, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of … improvements in the spot market BrokerTec platform. Day-to-day variation in price discovery information shares is related to bid …

Persistent link: https://www.econbiz.de/10003560539

Analysis of asymmetric GARCH volatility models with applications to margin measurement

Goldman, Elena; Shen, Xiangjin - 2018

We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as...

Persistent link: https://www.econbiz.de/10011844178

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

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information …

Persistent link: https://www.econbiz.de/10011452269

Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work

Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2014

, including the question of whether financial market information helps forecast the real price of oil in physical markets. An …

Persistent link: https://www.econbiz.de/10010336456

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

An empirical study on weak-form of market efficiency of selected Asian stock markets

Patel, Nikunj R.; Radadia, Nitesh; Dhawan, Juhi - In: Journal of applied finance & banking 2 (2012) 2, pp. 99-148

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

Persistent link: https://www.econbiz.de/10009539633

An empirical analysis of the bond market behavior and cointegration in the selected APEC’s countries

Nguyen, Chu V. - In: Journal of applied finance & banking 2 (2012) 6, pp. 31-39

of these countries. The empirical results are important for investors and traders since they can use past information in …

Persistent link: https://www.econbiz.de/10009741562