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Better not forget : on the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014305602

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...

Persistent link: https://www.econbiz.de/10014305816

Dependence structure across equity sectors : evidence from vine copulas

Aslam, Faheem; Hunjra, Ahmed Imran; Bouri, Elie; … - In: Borsa Istanbul Review 23 (2023) 1, pp. 184-202

Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine...

Persistent link: https://www.econbiz.de/10014307493

The Jumps in the Stock Returns : The Evidence from the Polish Stock Market

Bedowska-Sojka, Barbara - 2012

The availability of intraday data led to the development of new concepts and models. In the paper we focus on the jumps observed in the stock and index returns. These abnormal returns should be linked to information on the market. Here we detect jumps in equally spaced 15-minute intraday returns...

Persistent link: https://www.econbiz.de/10013109361

Before the cult of equity : new monthly indices of the British share market, 1829-1929

Campbell, Gareth; Grossman, Richard S.; Turner, John D. - 2019

UK investment. We also construct indices for 22 domestic sectors, and calculate CAPM betas for each sector. …

Persistent link: https://www.econbiz.de/10011999611

Share trading activity and the rise of the rentier in the UK before 1920

Acheson, Graeme G.; Coyle, Christopher; Jordan, David P.; … - 2018

Using a hand-collected dataset, we examine share trading activity over the period 1882 to 1920 for the North British and Mercantile Insurance Company, one of the largest UK companies of the time. Our main finding is that the steady flow of rentiers into the shareholding constituency of this...

Persistent link: https://www.econbiz.de/10011799911

Credit Provision and Stock Trading : Evidence From the South Sea Bubble

Braggion, Fabio - 2020

This paper studies the mechanism that relates credit provision to asset prices. On one extreme, cheap credit may reduce the cost of capital and increase prices without trading. On the other extreme, naive borrowers may unsuccessfully ride a bubble. We collect every stock transaction for three...

Persistent link: https://www.econbiz.de/10012848786

Far from the light of day: bankrupt parisian minor banks and petty bankers from 1882 to 1911

Saul, Samir - In: Revue française d'histoire économique 14 (2020) 2, pp. 76-95

Persistent link: https://www.econbiz.de/10012672206

Growth, Profits and Technological Choice : The Case of the Lancashire Cotton Textile Industry

Toms, Steve - 2014

Using Lancashire textile industry company case studies and financial records, mainly from the period just before the First World War, the processes of growth and decline are re-examined. These are considered by reference to the nature of Lancashire entrepreneurship and the impact on...

Persistent link: https://www.econbiz.de/10014187191

Stock Market Liquidity and Innovation Activity

Vo, Lai Van - 2014

This paper investigates the effects of aggregate stock market liquidity on innovation at both aggregate and firm levels … mechanisms through which aggregate stock liquidity enhances innovation. First, high stock market liquidity reduces the cost of … equity and finance their innovation. Second, high stock market liquidity generates high firm valuation and reduces …

Persistent link: https://www.econbiz.de/10013062771