This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

The article analyzes the literature and provides an assessment of the development of the stock market in the Russian Federation between 2016-2020. Today, the process of improving electronic technologies for carrying out operations in the stock market is also a continuing segment of the financial...

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying stochastic process is assumed to be a normal mixture process with time-varying volatility. We compare the Aumann-Serrano performance index for multi-period gambles with that for...

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...

This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical...

In this work, the financial data of 377 stocks of Standard & Poor’s 500 Index (S&P 500) from the years 1998–2012 with a 250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal distribution and frequency distribution for both...

We constructed forecasts of earnings forecasts using data on 406 firms and forecasts made by 5419 individuals with on average 25 forecasts per individual. We verified previously found predictors, which are the average of the most recent available forecast for each forecaster and the difference...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...