Showing 1 - 10 of 24,183
We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks … and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic …. Common jumps affect all stocks, albeit to varying degrees, while idiosyncratic jumps are stock-specific. Despite the fact …
Persistent link: https://www.econbiz.de/10005787560
returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …
Persistent link: https://www.econbiz.de/10011205311
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the financial market. In this study, the joint dynamics is...
Persistent link: https://www.econbiz.de/10011114116
. Abstract:How to measure the liquidity of Colombian stocks and its recent evolution. In the context of market microstructure … literature, we define and estimate a measure of liquidity for Colombian stocks and provide evidence of the large improvement of … econometric model, to a significant improvement in liquidity for most of the individual stocks.We also explore the determinants …
Persistent link: https://www.econbiz.de/10010827926
We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama …–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price … subsectors including airlines, recreational services and restaurants and bars. We also document that oil price risk exposures …
Persistent link: https://www.econbiz.de/10010729341
China. This has important implications for domestic cross-market portfolio allocation and risk management in both developed …
Persistent link: https://www.econbiz.de/10010734657
There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample...
Persistent link: https://www.econbiz.de/10011048940
Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...
Persistent link: https://www.econbiz.de/10005100561
hypothesis that as investors become overconfident, they underestimate risk and thereby trade in riskier stocks. … traders tend to title their investment toward smaller-cap and growth stocks, consistent with the prediction of overconfident …
Persistent link: https://www.econbiz.de/10005080770
added. The model is empirically used to study duration dependence in four traded stocks, Nordea, Föreningssparbanken …, Handelsbanken and SEB A on the Stockholm Stock Exchange. The stocks are all active in the banking sector. It is found that including … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …
Persistent link: https://www.econbiz.de/10005651956