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The Impact of Stock Market Liberalization on Emerging Equity Market Volatility
Dhir, Pawan - 2007
This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …
Persistent link: https://www.econbiz.de/10009429052
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An analysis of US propane markets, winter 1996-1997
2009
In late summer 1996, in response to relatively low inventory levels and tight world oil markets, prices for crude oil, natural gas, and products derived from both began to increase rapidly ahead of the winter heating season. Various government and private sector forecasts indicated the potential...
Persistent link: https://www.econbiz.de/10009435595
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Motor gasoline assessment, Spring 1997
2009
The springs of 1996 and 1997 provide an excellent example of contrasting gasoline market dynamics. In spring 1996, tightening crude oil markets pushed up gasoline prices sharply, adding to the normal seasonal gasoline price increases; however, in spring 1997, crude oil markets loosened and crude...
Persistent link: https://www.econbiz.de/10009435609
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Application of a prognostic model validation system to real-time dispersion modeling
Pace, J C - 2008
The Atmospheric Release Advisory Capability (ARAC) at the Lawrence Livermore National Laboratory uses the U.S. Navy's Coupled Ocean/Atmosphere Mesoscale Prediction System (COAMPS) to supply high-resolution wind data for use in its real-time dispersion modeling system. ARAC has used COAMPS...
Persistent link: https://www.econbiz.de/10009436019
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Modified seasonal factors in exponential smoothing
Armstrong, J.S.; Hwang, Ho-Ling; Bandy, J. - 2008
Current practice uses statistical tests to determine whether seasonal factors should be applied in a given forecasting situation. Research suggests that an optimal policy might lie somewhere between using full seasonal factors and using no seasonal factors on series. This research proposes and...
Persistent link: https://www.econbiz.de/10009436702
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Development of an exceedance probability streamflow forecast
Piechota, Thomas C.; Chiew, F. H.S.; Dracup, J. A.; … - 2001
This paper presents a methodology for forecasting seasonal streamflow and is an extension of a previously developed categorical streamflow forecast model that used persistence (i.e., the previous season’s streamflow) and El Niño-Southern Oscillation (ENSO) indicators. This newly developed...
Persistent link: https://www.econbiz.de/10009458745
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The low P/E effect and abnormal returns for Australian industrial firms
Kelly, Simone; McClean, Jenna; McNamara, Ray - 2008
While the low P/E effect has been examined rather extensively in international markets particularly in the US, there is a notable absence of Australian market-based P/E studies. This research examines the relationship between the investment performance of Australian Industrial common stock and...
Persistent link: https://www.econbiz.de/10009441755
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The efficient market hypothesis through the eyes of an artificial technical analyst
Timur Yusupov - 2007
The academic literature has been reluctant to accept technical analysis as a rational strategy of traders in financial markets. In practice traders and analysts heavily use technical analysis to make investment decisions. To resolve this incongruence the aim of this study is to translate...
Persistent link: https://www.econbiz.de/10009428999
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Commodity futures and momentum trading: implications for behavioural finance
Calder, Dan; O'Grady, Thomas - 2009
The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre and Rallis (2007). This study identifies one...
Persistent link: https://www.econbiz.de/10009434769
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The weekend trading profitability: evidence from international mutual funds
Mazumder, M. Imtiaz; Miller, Edward M.; Varela, Oscar Albert - 2005
The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based...
Persistent link: https://www.econbiz.de/10009468584