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Price discovery and liquidity in the high frequency world

Ozturk, Sait Ridvan - 2016

Persistent link: https://www.econbiz.de/10011556366

S&P 500 index-futures price jumps and macroeconomic news

Miao, Hong; Ramchander, Sanjay; Zumwalt, J. Kenton - In: The journal of futures markets 34 (2014) 10, pp. 980-1001

Persistent link: https://www.econbiz.de/10010508683

Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE … of two stages GARCH (1,1) model wherein in first stage conditional volatility of both stock markets is estimated, and … then it is used as exogenous variable to estimate further conditional volatility of both stock markets. The study also …

Persistent link: https://www.econbiz.de/10013002313

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10008732289

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10009725480