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Can news-based economic sentiment predict bubbles in precious metal markets?

Maghyereh, Aktham I.; Abdoh, Hussein - In: Financial innovation : FIN 8 (2022), pp. 1-29

This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities … the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were … the price bubbles of precious metals. …

Persistent link: https://www.econbiz.de/10013272710

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Persistent link: https://www.econbiz.de/10012813273

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

return predictors, including tail risk. The predictability results are robust to out-of-sample tests …

Persistent link: https://www.econbiz.de/10011810905

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Modeling International Financial Returns with a Multivariate Regime-Switching Copula

Chollete, Lorán - 2010

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

Persistent link: https://www.econbiz.de/10013150667

Conditional Distribution of the Colombian Exchange Rate Returns : An Empirical Exercise Using Multivariate GARCH Models

Gómez, Karoll; Gallón, Santiago - 2008

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...

Persistent link: https://www.econbiz.de/10014220508

FTSE/JSE Top 40 Index Long-Term Returns

Kotze, Antonie - 2017

The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

Persistent link: https://www.econbiz.de/10012955234

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

“anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

Investor sentiment, volatility and cross-market illiquidity dynamics : A threshold vector autoregression approach

Qi, Lin - 2022

This paper discusses the role that stock market volatility plays in the linkages between the U.S. stock and Treasury bond markets through liquidity under different regimes of investor sentiment in a threshold vector autoregression model. The baseline analysis shows that the interaction between...

Persistent link: https://www.econbiz.de/10013294050