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Democracy and stock market performance in African countries
Asongu, Simplice A. - 2011
. Channels of democracy, polity and autocracy are instrumented with legal-origins, religious-legacies, income-levels and press … broadly demonstrate that democracy improves investigated stock market performance dynamics. Practical implications – As a … to assess the incidence of democracy on stock market performance in an exclusive African context. Political strife has …
Persistent link: https://www.econbiz.de/10011410317
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Optimism in financial markets : stock market returns and investor sentiments
Limongi, Chiara Concetto; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 12 (2019) 2/85, pp. 1-14
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical...
Persistent link: https://www.econbiz.de/10012022093
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Can big data help predict financial market dynamics? : evidence from the Korean stock market
Pyo, Dong-Jin - In: East Asian economic review 21 (2017) 2, pp. 147-165
This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...
Persistent link: https://www.econbiz.de/10011765063
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The use of the recognition heuristic as an investment strategy in European stock markets
Lobão, Júlio; Pacheco, Luís; Pereira, Carlos - In: Journal of economics, finance & administrative science 22 (2017) 43, pp. 207-223
Purpose: People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied...
Persistent link: https://www.econbiz.de/10011875260
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341
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Covariance Forecasting in Equity Markets
Symitsi, Efthymia - 2018
We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...
Persistent link: https://www.econbiz.de/10012915984
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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...
Persistent link: https://www.econbiz.de/10012919223
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International Equity Flows and Returns : A Quantitative Equilibrium Approach
Albuquerque, Rui A. - 2014
This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...
Persistent link: https://www.econbiz.de/10013039668
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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Investor Co-Attention and Stock Market Comovement
Symitsi, Efthymia - 2017
We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated by the Google Search Volume Index (SVI). Our results...
Persistent link: https://www.econbiz.de/10012941907