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Herding, Trend Chasing and Market Volatility
Di Guilmi, Corrado - 2014
herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … absolute and squared returns increase with herding and trend chasing based on long time horizon. On the other hand, the …
Persistent link: https://www.econbiz.de/10013058172
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The effects of stock characteristics on the direction and extent of herding by foreign institutional investors in the Taiwan stock exchange
Fang, Hao; Lu, Yang-cheng; Yau, Hwey-yun - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 60-74
Persistent link: https://www.econbiz.de/10010402994
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A transmission of beta herding during subprime crisis in Taiwan's market : DCC-MIDAS approach
Chen, Yi-Chang; Wu, Hung-Che; Zhang, Yuanyuan; Kuo, … - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-16
demonstrates that herding is a key transmitter in Taiwan’s stock market. The significant estimation of DCC-MIDAS explains …, it also reveals that herding forms in Taiwan’s markets during the subprime crisis period. …The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used …
Persistent link: https://www.econbiz.de/10012698399
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Impact of Corporate Action (Different Stock Split Ratios) on Stock Price in India
Marisetty, Nagendra - 2018
This article tries to explain the impact of corporate action (Stock splits) on stock price in India, which ex-splits date in the year 2017. This study includes twenty five stocks from different industries and different stock split ratios. To understand the price reactions to stock splits...
Persistent link: https://www.econbiz.de/10012924443
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Stock Market Performance and Macroeconomic Variables - Theory and Critical Review of Literature
Kumar, Arnav - 2015
Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and...
Persistent link: https://www.econbiz.de/10013011185
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Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets – A Panel Data Analysis
Tripathi, Vanita - 2016
This paper examines the relationship between select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate and Money Supply) and aggregate stock returns in emerging markets constituting the BRICS block over the period 1995 to 2014 using quarterly panel data. This relationship...
Persistent link: https://www.econbiz.de/10012995646
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Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices : Short Run and Long Run Analysis
Lingaraja, Kasilingam - 2020
This research paper investigates the stock market movements and linkages between the Asian emerging markets (China …, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This …
Persistent link: https://www.econbiz.de/10012832814
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Machine Learning and the Stock Market
Brogaard, Jonathan - 2020
Practitioners allocate substantial resources to technical analysis whereas academic theories of market efficiency rule out technical trading profitability. We study this long-standing puzzle by designing a machine learning algorithm to search for profitable technical trading rules while...
Persistent link: https://www.econbiz.de/10012851577
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Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty : a first and second wave perspective
Chowdhury, Emon Kalyan - In: Journal of capital markets studies 6 (2022) 3, pp. 225-241
Purpose: This paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves. Design/methodology/approach: This study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death...
Persistent link: https://www.econbiz.de/10013543102
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Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach
Tripathi, Vanita - 2015
The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources of systematic risk) in explaining stock returns. In the same vein, this paper examines the relationship between macroeconomic variables (GDP, inflation, interest rate, exchange...
Persistent link: https://www.econbiz.de/10013017151