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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of … three leading energy commodities, namely crude oil, natural gas and ethanol, using intra-day data. The detailed analysis of …

Persistent link: https://www.econbiz.de/10011441584

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

Persistent link: https://www.econbiz.de/10010490457

Rational Speculative Bubbles and Commodities Markets : Application of Duration Dependence Test

Went, Peter - 2011

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...

Persistent link: https://www.econbiz.de/10013121177

Stock Market Spread Trading : Argentina and Brazil Stock Indices

Batten, Jonathan A. - 2012

Brazil is the largest stock market in South America, whereas Argentina is one of the smallest. Nonetheless, the most important stock indices representing these markets (the Brazil Bovespa and the Argentinian Merval) are highly correlated with two-way Granger causality. This feature facilitates...

Persistent link: https://www.econbiz.de/10013099289

International Stock Market Integration : Central and South Eastern Europe Compared

Horvath, Roman - 2012

We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of...

Persistent link: https://www.econbiz.de/10013105624

Risk and Return in the Tehran Stock Exchange

Jahan-Parvar, Mohammad R. - 2013

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of...

Persistent link: https://www.econbiz.de/10013092426

The Impact of Structural Breaks on the Integration of the Asean-5 Stock Markets

Chen, Cathy W. S. - 2009

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

Persistent link: https://www.econbiz.de/10013159437

Cost of Informed Trading and Trader Type Exploration of Price Discovery by Trader Type

Janyangyuen, Worapong - 2008

The paper examines the price whether the foreign investors are informed traders by investigating the degree of the contribution to price discovery classified by the size of the stocks. Our results show that the foreign investors account for a majority of price discovery in spite of less number...

Persistent link: https://www.econbiz.de/10012723441

Lead Lag Direction and Price Discovery of the S&P/ASX 200 Share Price Index and the S&P/ASX 200 Index Options

Buhr, Klaus - 2007

We examined the lead-lag relationship between the Samp;P/ASX200 Share Price Index as the underlying security of the Samp;P/ASX 200 Index Options traded on the ASX.We investigated the information content of the index and option markets in the price discovery process. Based on conditional...

Persistent link: https://www.econbiz.de/10012729289

Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

Maatoug, Abderazak Ben - 2019

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

Persistent link: https://www.econbiz.de/10012900291