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Long-run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...

Persistent link: https://www.econbiz.de/10010293737

Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone

Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...

Persistent link: https://www.econbiz.de/10011870707

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

A Tangent Linear Approach in Technical Trading Strategy : The Use of Convexity Path in Stock Market Indices

Philippas, Dionisis - 2013

We examine the performance of the expected convexity path of a stock market index using a novel measure of a tangent linear approach. The expected path is expressed as a linear combination that shows whether the transmission from the present value t to the future one (t k)-th is a convex or a...

Persistent link: https://www.econbiz.de/10013093650

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2013

Persistent link: https://www.econbiz.de/10010241526

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 40 (2016) 2, pp. 235-257

Persistent link: https://www.econbiz.de/10011658783

The ESG Investor Sentiment Index : A Cross Sectional and Time Series Analyses

Bonaparte, Yosef - 2021

We constructed an ESG investors’ sentiment Index (ESG-ISX) that reflects four key components: (1) governance: gap … warming index; and (4) ESG google search sentiment. Applying the ESG-ISX monthly index data between 1/2004 and 7/2021, we find …. The raise of ESG investors’ sentiment has implication at the household and stock market levels. At the household level, it …

Persistent link: https://www.econbiz.de/10014087110

Forecasting Indian Stock Market Index Using Singular Spectrum Analysis : A Comparison with ARIMA and Artificial Neural Network

Shukla, Suwarna - 2017

In this paper we focus on analyzing the predictive accuracy of three different types of forecasting techniques, Autoregressive Integrated Moving Average (ARIMA), Artificial Neural Network (ANN), and Singular Spectral Analysis (SSA), used for predicting chaotic time series data. These techniques...

Persistent link: https://www.econbiz.de/10012947889

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

Lemand, Ryan - 2022

The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...

Persistent link: https://www.econbiz.de/10014236561

Examining mean-volatility spillovers across national stock markets

Natarajan, Vinodh K.; Singh, Azariah Robert Raja; … - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 55-62

The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover...

Persistent link: https://www.econbiz.de/10011872506