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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns …
Persistent link: https://www.econbiz.de/10003931807
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …
Persistent link: https://www.econbiz.de/10003947435
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Information Transmission between International Stock Markets and Bucharest Stock Exchange During a Turbulent Period (2007-2009)
Tudor, Cristiana - 2010
This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...
Persistent link: https://www.econbiz.de/10013147798
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Stock market reactions to Brexit : case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14
volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …
Persistent link: https://www.econbiz.de/10011964063
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Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns
Dori, Fabian - 2012
focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …
Persistent link: https://www.econbiz.de/10013096369
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A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index
Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023
Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …
Persistent link: https://www.econbiz.de/10014254483
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Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse
Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20
The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … two standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …
Persistent link: https://www.econbiz.de/10012203997
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The causal relationships between stock returns, trading volume, and volatility : empirical evidence from Asian listed real estate companies
Hsieh, Hui-ching Sana - In: International journal of managerial finance : IJMF 10 (2014) 2, pp. 218-240
Persistent link: https://www.econbiz.de/10010376959
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Trading Frequency and Asset Pricing on the London Stock Exchange : Evidence from a New Price Impact Ratio
Florackis, Chris - 2012
In this study we propose a new price impact ratio as an alternative to the widely used Amihud's (2002) Return-to-Volume ratio (RtoV). This new measure, which is deemed Return-to-Turnover ratio (RtoTR), essentially modifies RtoV by substituting trading volume in its denominator with the turnover...
Persistent link: https://www.econbiz.de/10013116007