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Information, Trading, and Volatility : Evidence from Firm-Specific News
Boudoukh, Jacob - 2017
What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …
Persistent link: https://www.econbiz.de/10012974737
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Does information environment affect information spillover between the CDS and stock markets in Korea?
Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 145-158
This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on … information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS … sensitive total information flow from the stock market to the CDS market. Companies with lower transaction costs in the CDS …
Persistent link: https://www.econbiz.de/10015055028
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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A Conditional Capital Asset Pricing Model for Maritime Firms : Empirical Evidence from the Us Stock Market
Erdogan, Oral - 2012
This study focuses on the valuation of maritime companies. By using Erdogan's (1996) modified capital asset pricing approach for maritime firms, Bollerslev's (1986) General Auto Regressive Conditional Heteroskedasticity Model (GARCH) is adapted along with including the freight market effect in...
Persistent link: https://www.econbiz.de/10013108652
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Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times
Junttila, Juha-Pekka - 2017
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...
Persistent link: https://www.econbiz.de/10012963146
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The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market
Bedowska-Sojka, Barbara - 2017
strengthen as the stock market matures. The transaction costs on both markets show similar dynamics within the whole period …
Persistent link: https://www.econbiz.de/10012942376
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
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Machine Learning and the Stock Market
Brogaard, Jonathan - 2020
Practitioners allocate substantial resources to technical analysis whereas academic theories of market efficiency rule out technical trading profitability. We study this long-standing puzzle by designing a machine learning algorithm to search for profitable technical trading rules while...
Persistent link: https://www.econbiz.de/10012851577
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BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets
Low, Rand Kwong Yew - 2016
Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or …
Persistent link: https://www.econbiz.de/10012989660
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Testing for Return Predictability with Co-Moving Predictors of Unknown Form
Xu, Ke-Li - 2018
Testing for constant expected returns and forecasting future returns necessitate the information beyond a single …
Persistent link: https://www.econbiz.de/10012919518