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Energy Consumption and Stock Market Relationship : Evidence from Turkey
Ersoy, Ersan - 2016
growth and energy as a result of the increase in the energy prices and their volatility in recent years have emerged. The aim … stock exchange index in Turkey. Ceteris paribus, economic growth with the increase of energy consumption, the growth of the … of this study, apart from the other studies in the area, is to investigate the interaction between energy consumption and …
Persistent link: https://www.econbiz.de/10012999182
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Capital market and economic growth nexus : evidence from Turkey
Coşkun, Yener; Seven, Ünal; Ertuğrul, H. Murat; … - In: Central Bank review / The Central Bank of the Republic … 17 (2017) 1, pp. 19-29
Persistent link: https://www.econbiz.de/10011781401
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Measuring and trading volatility on the US stock market : a regime switching approach
Dapena, José P.; Serur, Juan A.; Siri, Julián R. - 2018
Persistent link: https://www.econbiz.de/10011905061
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A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks
Dapena, José Pablo - 2019
The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital market slacks variety of hedging contracts....
Persistent link: https://www.econbiz.de/10012858222
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Systematic Risk Determinants of Stock Returns after Financial Crisis : Evidence from United Kingdom
Trinh (Rainy), Dr Vu Quang - 2018
This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is benchmark of the prosperity among UK stocks....
Persistent link: https://www.econbiz.de/10012925596
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Measuring and Trading Volatility on the US Stock Market : A Regime Switching Approach
Dapena, José Pablo - 2018
The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature, we show evidence that VIX is generally above the 30-day...
Persistent link: https://www.econbiz.de/10012910384
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A Discrete-Time Model for Daily S&P500 Returns and Realized Variations : Jumps and Leverage Effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - 2008
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...
Persistent link: https://www.econbiz.de/10014217079
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Do Institutional Traders Predict Bull and Bear Markets?
Buyuksahin, Bahattin - 2011
We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental...
Persistent link: https://www.econbiz.de/10013120377
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International Price Discovery in Stock Markets - A Unique Intensity Based Information Share
Kehrle, Kerstin - 2010
This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...
Persistent link: https://www.econbiz.de/10013150784
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The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy
Bulmash, Samuel B. - 2012
The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...
Persistent link: https://www.econbiz.de/10013100689