This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

WThis paper builds a model of high-frequency equity returns in clock time by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in clock time and...

This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index and Borsa Istanbul 100 (BIST 100) Index. It focuses on three main points. First, we search whether there are variations in index returns and volatilities by days of the week,...

This paper introduces bond market order flow as a predictor variable in term structuremodels and provides evidence that order flow has forecasting ability over and above thatof forward rates. Both in-sample and out-of-sample forecasts show that models includ-ing interdealer order flow outperform...

The level of daily stock returns is generally regarded as unpredictable. Instead of the level, we focus on the signs of these returns and generate forecasts using various statistical classification techniques, such as logistic regression, generalized additive models, or neural networks. The...

The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect can be positive or negative depending on how...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

This three-wave study analyses the mediating role of financial behavior in the relationship between financial goals and retirement saving adequacy, and the moderating role of Death anxiety. The participants in the study (N = 276) were 40-plus Spanish clients of financial advisory firms. The...

In this paper, we examined and compared the forecast performances of the dynamic Nelson-Siegel (DNS), dynamic Nelson-Siegel-Svensson (DNSS), and arbitrage-free Nelson-Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the...

The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known as blue-chip companies. To reach out the predefined objectives of the research, Auto...