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Do Artificial Neural Networks Provide Improved Volatility Forecasts : Evidence from Asian Markets

Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos S - 2021

Forecasts of stock market volatility is an important input for market participants in measuring and managing investment risks. Thus, understanding the most appropriate methods to generate accurate is key. This paper examines the ability of Machine Learning methods, and specifically Artificial...

Persistent link: https://www.econbiz.de/10013310404

The Information Content of Stock Market Factors

Elgammal, Mohammed - 2017

This paper examines the information content within several popular stock market factors, asking whether they contain … factors do not contain independent information for stock returns. Further, most of these factors do not provide any predictive … power for future output growth and thus appear not to contain any economic content or information regarding economic …

Persistent link: https://www.econbiz.de/10012947973

Macroeconomic Factors and Equity Returns in Borsa Istanbul

Atilgan, Yigit - 2015

This paper investigates equity return exposure to various macroeconomic factors and the performance of factor betas in predicting the cross-sectional variation in stock returns. We utilize a two-step procedure to directly test the implications of the Arbitrage Pricing Theory. First, we calculate...

Persistent link: https://www.econbiz.de/10013032428

Reward-to-Risk Ratios in Turkish Financial Markets

Atilgan, Yigit - 2015

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

Persistent link: https://www.econbiz.de/10013037029

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223

Does the Stock Market Predict Macro-Variables?

McMillan, David G. - 2018

proxies for stock market risk do reveal predictive power. Such information provides a leading role indicator for the …

Persistent link: https://www.econbiz.de/10012909203

Predicting GDP Growth with Stock and Bond Markets : Do They Contain Different Information?

McMillan, David G. - 2019

distinct predictive information. Notably, predictive power emanating from the stock return series appears stronger over shorter … information content for future output growth. This view is further supported by forecast results whereby a model that includes … stock returns contain additional information over that presented by the term structure alone …

Persistent link: https://www.econbiz.de/10012891593

Interrelation and Spillover Effects Between Stocks and Bonds : Cross-Market and Cross-Asset Evidence

McMillan, David G. - 2019

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

Persistent link: https://www.econbiz.de/10012892340

Persistence in ESG and Conventional Stock Market Indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10013225332

Stock Market Fundamentals and Bubbles : Implications for Prices, GDP and Consumption

McMillan, David G. - 2010

This paper examines the cointegrating relationships between UK quarterly stock prices, stock price fundamentals, GDP and consumption. Evidence reported supports cointegration between these four-variables, with results indicating three cointegrating vectors, or a single common stochastic trend....

Persistent link: https://www.econbiz.de/10013136803