Campbell and Shiller average 10 years of real S&P 500 earnings to construct its Cyclically Adjusted P/E ratio, or CAPE, which they then use to forecast its future 10-year returns. In essence, Campbell and Shiller kill two birds with one large stone - they use the 10-year average to reduce noise...

Stock market index enhancement is a popular strategy among hedge funds. The algorithm tries to adjust the weights of individual stocks of a benchmark index to boost performance of the target portfolio with respect to the original benchmark. Therefore, the key to success of this strategy is the...

The paper investigated the impact of stock market on economic growth in Nigeria from 1981 to 2016 using a three-equation simultaneous-equations model in a Three Stage Least Square (3SLS) estimation technique. The paper found that stock market positively spurs economic growth in Nigeria...

In this study, the impact of commodity prices and capital inflows on the stock markets, which is from the fundamental variables influencing the economic and structural problems of emerging markets, has been investigated. The relations between variables were analyzed using Johansen Cointegration...

Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...

The stock market plays an important role in the national economies, stimulating savings and reallocating assets. The impact of economic activities on the stock market could be deterministic for investors behavior. The present study analyses the influence of macroeconomic variables such as...

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers' attitude towards stock investments, investors' trading behaviour and stock returns explanations. We evaluate the effectiveness of the recent efforts made by the Chinese authorities...

This study investigates how the trade duration-based intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate...

Empirical research confirms the existence of volatility spillovers across national stock markets. However, the models in use are mostly statistical ones. Much less is known about the actual transmission mechanisms; theoretical literature is scarce, and so is empirical work trying to estimate...

This paper studies the impact of COVID-19 on Indian stock market through examining the responses of BSE sector indices: Auto, Healthcare, IT, FMCG and Capital Goods sectors from the period of 1st January, 2019 to 16th January, 2021. This period is further divided into four time-windows;...