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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010406272

Bubbles and the Weibull distribution : was there an explosive bubble in US stock prices before the global economic crisis?

Yuhn, Ky-hyang; Kim, Sang Bong; Nam, Chu-ha - In: Applied economics 47 (2015) 1/3, pp. 255-271

Persistent link: https://www.econbiz.de/10010463934

Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae

Ignatieva, Katja - 2012

This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...

Persistent link: https://www.econbiz.de/10013098515

Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices : Short Run and Long Run Analysis

Lingaraja, Kasilingam - 2020

This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive...

Persistent link: https://www.econbiz.de/10012832814

Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis

Wu, Jason - 2011

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …

Persistent link: https://www.econbiz.de/10013127087

Aggregate Consumption Spending, the Stock Market, and Asymmetric Error Correction

Stevans, Lonnie K. - 2011

In this study, we show how changes in wealth resulting from unanticipated changes in the value of equity holdings begin a process whereby households alter consumption growth in order to close the gap between actual and target spending. Because of changing uncertainty or equity price volatility...

Persistent link: https://www.econbiz.de/10014059425

Assessment of Relationship Between Stock Prices, Stock Earning and Yields of Government Participation Securities in Iran by the Fed Model

Ebrahimi, Seyed Kazem - 2014

, income and long term bond yields is on econometrics methodology and based on cointegration framework. Regarded to importance … show that there is any cointegration or long term relationship in research variable and in other word yield of …

Persistent link: https://www.econbiz.de/10013070494

A Revised Trade-to-Trade Model for All Levels of Trading Thinness in Event Studies

Anderson, Warwick W. - 2010

This paper offers an improvement to the trade-to-trade model for event studies. While the trade-to-trade model of Maynes and Rumsey (1993) addresses the problem of thin trading by eliminating periods in which no trading is recorded, the proposed improvement addresses the influence of zero-value...

Persistent link: https://www.econbiz.de/10013138994

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Stock Returns Declustering Under Time Dependent Hölder Exponent

Bianchi, Sergio - 2011

Two of the most important stylized facts well-known in finance relate to the non-Gaussian distribution and to the volatility clustering of stock returns. In this paper, we show that a new class of stochastic processes – called Multifractional Processes with Random Exponent (MPRE) – can...

Persistent link: https://www.econbiz.de/10013122333

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