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Mitigating economic volatility : when building efficient financial markets should supersede conventional economic policy
Haque, M. Emranul; Middleditch, Paul; Zhang, Shuonan - In: Journal of government and economics : JGE 8 (2022), pp. 1-14
The choice of instruments for mitigating economic volatility is a serious consideration for policymakers and important question in government and economics. Using a DSGE model with endogenous technology creation, we show that efficient financial markets are more effective than conventional...
Persistent link: https://www.econbiz.de/10014413996
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What Triggers Stock Market Jumps?
R. Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
We examine next-day newspaper accounts of large daily jumps in 16 national stock markets to assess their proximate cause, clarity as to cause, and the geographic source of the market-moving news. Our sample of 6,200 market jumps yields several findings. First, policy news – mainly associated...
Persistent link: https://www.econbiz.de/10013233977
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The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market
Lihn, Stephen H.T. - 2009
This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals … distribution, which is the lognormal cascade equation in our theory. This shows that the fluctuations of the market index are a …
Persistent link: https://www.econbiz.de/10013159227
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On the Network Effect in the Stock Market, The N^3/2 Power Law, and Optimal Volatility Equilibrium
Lihn, Stephen H.T. - 2010
prescribed in modern portfolio theory. The tail risk is omnipresent in the financial market …
Persistent link: https://www.econbiz.de/10013148832
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Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
R.T. Ferreira, Thiago - 2020
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...
Persistent link: https://www.econbiz.de/10014115594
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Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...
Persistent link: https://www.econbiz.de/10003482498
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The speed of convergence to market efficiency on NASDAQ hedging stocks
Huang, Han-Ching; Su, Yong-chern; Yang, Ming-yu - In: Investment management and financial innovations 10 (2013) 2, pp. 84-92
Persistent link: https://www.econbiz.de/10010201089
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Stock market overreaction and fundamental valuation : theory and empirical evidence
Külpmann, Mathias - 2002
Persistent link: https://www.econbiz.de/10001607573
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Fundamentals and the winner-loser effect theory and empirical evidence
Külpmann, Mathias - 2000
Persistent link: https://www.econbiz.de/10001474619