This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

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...

Purpose: People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied...

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...

This paper looks at the evolution of U.S. stock prices from the time of the Presidential elections to the end of 2017. It concludes that a bit more than half of the increase in the aggregate U.S. stock prices from the presidential election to the end of 2017 can be attributed to higher actual...