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The economic value of cross-predictability: A performance-based measure

Bagnara, Matteo - 2024

Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns...

Persistent link: https://www.econbiz.de/10014633249

On the random walk characteristics of stock returns in India

Hiremath, Gourishankar S; Bandi, Kamaiah - 2009

An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

Persistent link: https://www.econbiz.de/10015236788

Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test

Hiremath, Gourishankar S; Bandi, Kamaiah - 2010

This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...

Persistent link: https://www.econbiz.de/10015236791

Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

Hiremath, Gourishankar S; Kumari, Jyoti - 2014

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Persistent link: https://www.econbiz.de/10015244034

Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk

Senarathne, Chamil W; Jayasinghe, Prabhath - 2017

the rate of information arrival, in line with the observations of Lamoureux, and Lastrapes (1990). The linkage between … documented. Accordingly, the tendency of revision of expectation in the presence of new information flow whose frequency as … measured by ‘volume clock’ is observed. In the absence of new information arrival at the market, investors tend to follow the …

Persistent link: https://www.econbiz.de/10015255897

Peso-Dollar forward market analysis: Explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010392388

The random walk of high frequency trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …

Persistent link: https://www.econbiz.de/10011406341

Textual Sentiment, Option Characteristics, and Stock Return Predictability

Chen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, … - 2018

We distill sentiment from a huge assortment of NASDAQ news articles by means of machine learning methods and examine its predictive power in single-stock option markets and equity markets. We provide evidence that single-stock options react to contemporaneous sentiment. Next, examining return...

Persistent link: https://www.econbiz.de/10012433172

Strategic uncertainty in financial markets: Evidence from a consensus pricing service

Ergun, Lerby M.; Uthemann, Andreas - 2020

This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices...

Persistent link: https://www.econbiz.de/10012619605

Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern

Holtemöller, Oliver - In: Wirtschaft im Wandel 22 (2016) 1, pp. 5-8

In der Politik und in den Medien wird darüber diskutiert, ob spekulativer Handel mit Agrarrohstoffen den Hunger in der Welt vermehrt. In diesem Aufsatz wird untersucht, in welchem Umfang sich Schwankungen von Agrarrohstoffpreisen auf nationale Verbraucherpreise für Lebensmittel in Indien als...

Persistent link: https://www.econbiz.de/10011502208