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Examining mean-volatility spillovers across national stock markets
Natarajan, Vinodh Kesavaraj; Singh, Azariah Robert Raja; … - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 55-62
study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …
Persistent link: https://www.econbiz.de/10011872506
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...
Persistent link: https://www.econbiz.de/10012629835
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The turn-of-the-month effect in Pakistani stock market
Irtiza, Muhammad Sarmad; Khan, Shahbaz; Baig, Nida; … - In: Future Business Journal 7 (2021), pp. 1-11
This research intends to explore the presence of the "turn-of-the-month-effect (TOME)" in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3-4 days of the following month. The selection...
Persistent link: https://www.econbiz.de/10012667593
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High-Frequency Trading, Stock Volatility, and Price Discovery
Zhang, Frank - 2010
trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …
Persistent link: https://www.econbiz.de/10013137079
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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume
Michalon, Karine - 2012
stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …
Persistent link: https://www.econbiz.de/10013101249
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The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns
Lambertides, Neophytos - 2017
This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...
Persistent link: https://www.econbiz.de/10012959469
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The Arrival of News and Jumps in Stock Markets
Kanniainen, Juho - 2019
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which...
Persistent link: https://www.econbiz.de/10012902444
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463