This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

This thesis will be concerned with investigating the empirical characteristics of stock returns,forUKfirms which are distinguished by market value. The primary aimof thisworkis to identifywhether there are differences between the behaviour of large and small firm retums.A substantial amount of...

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long...

Darbo objektas – fundamentaliųjų veiksnių poveikis akcijų rinkos kainoms.Darbo tikslas – nustatyti fundamentaliųjų veiksnių poveikį akcijų kainoms skirtingais ekonomikos laikotarpiais Lietuvos akcijų rinkoje.Darbo uždaviniai:1. Išanalizuoti ir susisteminti akcijų kainų teorijas...

We analyze the long-run relationship between the world price of crude oil and international stock markets over 1971:1?2008:3 using a cointegrated vector error correction model with additional regressors. Allowing for endogenously identified breaks in the cointegrating and error correction...

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Using a panel of OECD countries from 1960 to 2002, this paper shows that financial markets value fiscal discipline. Interest rates, particularly those of long-term government bonds, decrease when countries' fiscal position improves and increase around periods of budget deteriorations. Stock...

The objective of this study is to determine the risk and return relationship on the basis of univariate modeling approach. This study is helpful to analyze the asymmetric nature of data including the seasonal affect and non linear properties in risk and return relationship scenario. In this...

Based on a binomial probability distribution model, this paper creates an investor sentiment endurance index which estimates the probability that the high or low stock market price equals the closing price of a trading session. Results of this study indicate that the index has decent forecasting...