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Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Pre-holiday Returns and Volatility in Thai Stock Market

Tangjitprom, Nopphon - 2011

The purpose of this paper is to examine the holiday effect in Thailand. The holiday effect is the phenomenon in which the stock returns are abnormally high before holidays. There is no complete explanation for this phenomenon though there are many studies that state that the holiday effect has...

Persistent link: https://www.econbiz.de/10013120010

Weekly Momentum Study on Indian Stock Markets

Sapate, Uttam B - 2017

The Efficient Market Hypothesis (EMH) has been one of the dominant topics in the financial research literature. The main purpose of this study is to explore the existence of return continuation in the Indian Stock Markets, thus investigating its efficiency at the weak form level (Fama,1970)....

Persistent link: https://www.econbiz.de/10012944173

Price Limits and Volatility : A New Approach and Some New Empirical Evidence from the Tokyo Stock Exchange

Nobanee, Haitham - 2017

This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits have not been examined before. The results show an increase of limit hits on Monday and Tuesday. These results of limit hits are consistent with the existing literature for the...

Persistent link: https://www.econbiz.de/10012976789

Volatility on the Indian Stock Market : A Study

Sireesha, P. - 2015

This study is carried out to understand the volatility behavior of the Indian stock market, taking into account the NSE as the role model. Historical volatility levels of CNX Nifty are computed using classical, range-based and drift independent volatility measures. It could be concluded that...

Persistent link: https://www.econbiz.de/10013025792

Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

Persistent link: https://www.econbiz.de/10014500629

Market uncertainty and distance to default of non-financial firms in Pakistan

Saleem, Qasim; Ahmed, Zeeshan; Noreen, Maria; Aslam, Arslan - In: International journal of trade and global markets 16 (2022) 1/3, pp. 59-72

Persistent link: https://www.econbiz.de/10013483392

The Effect of Oil Price on Stock Market Returns with Moderating Effect of Foreign Direct Investment & Foreign Portfolio Investment : Evidence from Pakistan Stock Market

Usman, Muhammad - 2019

This paper investigates the moderating impact of FDI & FPI in the association of macro-economic variables along with Oil prices & Index returns. Monthly data has been used from the period 2005 to 2018. Efficient unit root & break point unit root tests results indicate that all variables are...

Persistent link: https://www.econbiz.de/10012869330

Volatility Spillovers between South Asian Stock Markets : Evidence from Sri Lanka, India and Pakistan

Withanage, Yeshan - 2018

and two other major stock markets in the South Asian region: India and Pakistan. Main stock indices of Sri Lanka, India …, and Pakistan are employed as proxies to represent stock markets of each country. Daily data over the period 2nd January … both markets. It is evident that the intraday effect from Pakistan to Sri Lanka is stronger than the same effect from India …

Persistent link: https://www.econbiz.de/10012923948

Relationship between Macroeconomic Factors Volatility and Stock Return Volatility : Evidence from Pakistan

Haider, Syed Kamran - 2016

This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Macroeconomic factors used in this...

Persistent link: https://www.econbiz.de/10012997251

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