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An Assessment of Correlation between Twitter Sentiments Indicators and Stock Market Indicators, with Reference to BSE and NSE in India
Selvam, Murugesan; Kathiravan, Chinnadurai; … - 2021
referenceto BSE and NSE in India. This study used secondary dailytime-series data, for a period of two years, from 01.01.2018 to31 ….12.2019. Statistical tools, such as Descriptive Statistics andA correlation Matrix was employed to perform the analysis. It wasfound from … the correlation analysis that there was a relationshipbetween Twitter sentiments indicators and stock market indicators …
Persistent link: https://www.econbiz.de/10013217647
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Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India
Shah, Anand; Bahri, Anu - 2021
This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 ….0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …
Persistent link: https://www.econbiz.de/10013229520
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Is the stock market a leading indicator of economic activity in nigeria?
Ikoku, Alvan E. - In: CBN journal of applied statistics 1 (2010) 1, pp. 17-38
In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger...
Persistent link: https://www.econbiz.de/10011477855
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Price Jump Indicators : Stock Market Empirics During the Crisis
Novotny, Jan - 2013
We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...
Persistent link: https://www.econbiz.de/10013078483
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Predicting covariance matrices with financial conditions indexes
Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2013
Persistent link: https://www.econbiz.de/10009784937
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Predicting Volatility and Correlations with Financial Conditions Indexes
Opschoor, Anne - 2016
-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …
Persistent link: https://www.econbiz.de/10013007323
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Global, regional and country-specific components of financial market indicators : an extraction method and applications
Kocsis, Zalán - 2013
This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...
Persistent link: https://www.econbiz.de/10009774447
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Correlation of Democracy Indicators and Markets Returns
Axelrod, Scott - 2017
a positive mean (averaged over studies) total correlation (correlation of change vectors indexed by country-year pairs …. We obtain a result almost as strong when the correlation is aggregated differently using the separate country and year … statistical theory of correlation and (unconstrained) regression. This provides background to the novel applications of hypothesis …
Persistent link: https://www.econbiz.de/10012957781
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Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets
De Santis, Roberto A. - 2014
We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy …
Persistent link: https://www.econbiz.de/10013043737
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International stock market indices comovements : a new look
Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10009507847