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Impact of Macroeconomic Variables on Islamic Stock Market Returns : Evidence From Nifty 50 Shariah Index

Habib, Mohsina; Islam, Khalid Ul - 2022

The present paper tries to establish the impact of various macroeconomic variables on the performance of the Islamic stock market for India. Compatible with the Efficient Market Hypothesis (EMH), a number of macroeconomic variables have been documented to impact the performance of the stock...

Persistent link: https://www.econbiz.de/10014239484

Which component of air quality index drives stock price volatility in China : a decomposition-based forecasting method

Yu, Jize; Zhang, Li; Peng, Lijuan; Wu, Rui - In: Finance research letters 51 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014286581

Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

Persistent link: https://www.econbiz.de/10011325814

Is there long memory in Indian stock market returns? : an empirical search

Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145

Persistent link: https://www.econbiz.de/10011289921

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. The purpose of this paper is to examine the size, value effects and the explanatory power of three well-known pricing models - CAPM, three-and five-factor across...

Persistent link: https://www.econbiz.de/10014440925

Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks

Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017

It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...

Persistent link: https://www.econbiz.de/10011673153

Forecasting Stock Returns Under Economic Constraints

Pettenuzzo, Davide - 2014

conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework …

Persistent link: https://www.econbiz.de/10013064939

Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

Persistent link: https://www.econbiz.de/10009389845