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Intraday Correlation Patterns between the S&P 500 and Sector Indices

Bommarito, Michael James - 2010

In this brief research paper, I explore patterns in intraday return and volume correlation between the S&P 500 and … evidence of two previously unreported time-of-day effects. First, there is a "U-shaped'' pattern in return correlation …, characterized by higher correlation at open and close and lower correlation during mid-day hours. Second, volume correlation is …

Persistent link: https://www.econbiz.de/10013138138

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Growth and Value Stock Indices under the EDA Microscope

Clark, Andrew - 2012

In this paper, the author uses geometrical and topological aspects of Exploratory Data Analysis (EDA) to examine Standard and Poor's (S&P), MSCI's and Thomson Reuters' (TRI) ways of determining which stocks are growth and which are value. The results of the analysis are that two of the firms -...

Persistent link: https://www.econbiz.de/10013117025

Using VIX Data to Enhance Technical Trading Signals

Kozyra, James - 2011

The purpose of this paper is to provide new insights into the relationship between technical analysis and implied market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three trending trading rule signals are calculated on the...

Persistent link: https://www.econbiz.de/10013120392

Aggregate Investor Preferences and Beliefs in Stock Market : A Stochastic Dominance Analysis

Fang, Yi - 2012

This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...

Persistent link: https://www.econbiz.de/10013107334

Japan's Love for Derivative Actions : Irrational Behavior and Non-Economic Motives as Rational Explanations for Shareholder Litigation

Puchniak, Dan W. - 2013

Persistent link: https://www.econbiz.de/10013082846

Disentangling Crashes from Tail Events

Aboura, Sofiane - 2015

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved.This article elaborates a new definition of stock market crash...

Persistent link: https://www.econbiz.de/10013038518