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Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

Persistent link: https://www.econbiz.de/10010332467

Common influences, spillover and integration in Chinese stock markets

Weber, Enzo; Zhang, Yanqun - 2008

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...

Persistent link: https://www.econbiz.de/10010263757

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

Persistent link: https://www.econbiz.de/10010274514

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - 2004

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

Persistent link: https://www.econbiz.de/10011324953

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010306236

Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10010265964

Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

Persistent link: https://www.econbiz.de/10010271150

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