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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and …
Persistent link: https://www.econbiz.de/10010851243
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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
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Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
SÜMER, Kutluk Kaðan - In: Eurasian Eononometrics, Statistics and Emprical … 1 (2015) 1, pp. 43-56
Technical analysis aims on visually identifying geometrical patterns and indicators in price charts in order to anticipate price “trends”. This paper investigates the relations between return and technical analysis indicators of Turkish commercial banking sector in BIST-BANKING index for the...
Persistent link: https://www.econbiz.de/10011268636
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A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364
This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...
Persistent link: https://www.econbiz.de/10011268784
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A Compound Multifractal Model for High-Frequency Asset Returns
Aldrich, Eric M.; IHeckenbach, Indra Heckenbach; … - Department of Economics, Brigham Young University - 2014
WThis paper builds a model of high-frequency equity returns in clock time by separately modeling the dynamics of trade-time …-frequency asset returns both in clock time and trade time and show that when controlling for pre-scheduled market news events, trade-time … returns are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and …
Persistent link: https://www.econbiz.de/10011273942
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Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
SÜMER, Kutluk Kaðan - In: Eurasian Academy Of Sciences Social Sciences Journal 1 (2015) 1, pp. 43-56
Technical analysis aims on visually identifying geometrical patterns and indicators in price charts in order to anticipate price “trends”. This paper investigates the relations between return and technical analysis indicators of Turkish commercial banking sector in BIST-BANKING index for the...
Persistent link: https://www.econbiz.de/10011266175
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Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
SÜMER, Kutluk Kaðan - In: Eurasian Eononometrics, Statistics and Emprical … 1 (2015) 1, pp. 43-56
Technical analysis aims on visually identifying geometrical patterns and indicators in price charts in order to anticipate price “trends”. This paper investigates the relations between return and technical analysis indicators of Turkish commercial banking sector in BIST-BANKING index for the...
Persistent link: https://www.econbiz.de/10011267771
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Do changes in distance-to-default anticipate changes in the credit rating?
Aggarwal, Nidhi; Singh, Manish; Thomas, Susan - Indira Gandhi Institute of Development Research (IGIDR) - 2012
Distance-to-default (DtD) from the Merton model has been used in the credit risk literature, most successfully as an input into reduced form models for forecasting default. In this paper, we suggest that the change in the DtD is informative for predicting change in the credit rating. This is...
Persistent link: https://www.econbiz.de/10010548056
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Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
Arendarski, Piotr - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2012
We identified 4500 US stocks with year ending losses of 50 percent or more during the 2001-2011 period. We screened our "falling knives" for financial strength to promote a greater likelihood of recovery and minimize any survivorship bias. We added the constraints of Altman Z-Scores, debt/equity...
Persistent link: https://www.econbiz.de/10009421603
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The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries
Simovic, Vladimir; Vaskovic, Vojkan; Rankovic, Marko; … - In: Baltic Journal of Economics 11 (2011) 2, pp. 101-130
The institution of the credit bureau is one of the most important elements in controlling the indebtedness levels of a population. All credit bureaus have specific functional characteristics which are able to influence the development of indebtedness. This research aims to identify the most...
Persistent link: https://www.econbiz.de/10009421700