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Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

Persistent link: https://www.econbiz.de/10009582383

Reuters Sentiment and Stock Returns

Uhl, Matthias - 2016

Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrials stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic...

Persistent link: https://www.econbiz.de/10013008517

Linear and Non-Linear Granger Causality between Oil Spot and Futures Prices : A Wavelet Based Test

Alzahrani, Mohammed - 2014

oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent …

Persistent link: https://www.econbiz.de/10013051470

An Empirical Study on the Dynamic Relationship between Oil Prices and Indian Stock Market

Sahu, Tarak Nath - 2017

.Design/methodology/approach– The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration … cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long …

Persistent link: https://www.econbiz.de/10012972835

The Market Impact of a Limit Order

Hautsch, Nikolaus - 2011

We quantify the short-run and long-run price effect of posting a limit order in an order book market based on a specific high-frequency cointegrated VAR model for quotes and order book depths. By estimating impulse response functions based on data from 30 stocks traded at Euronext Amsterdam we...

Persistent link: https://www.econbiz.de/10013132932

Does Dark Trading Affect the Link between Stock Prices and Fundamentals?

Pan, Jing - 2020

I study the effect of dark trading on the incorporation of firm-specific fundamentals—quarterly earnings information—into stock prices. Theoretically, if dark pools attract more uninformed than informed orders, then the signal-to-noise ratio of the flow of orders submitted to exchanges will...

Persistent link: https://www.econbiz.de/10012854204

The effects of relative strength of USD and overnight policy rate on performance of Malaysian stock market : evidence from 1980 through 2015

Abdul Razak Abdul Hadi; Tat Hiung Yap; Zainudin, Zalina - In: Contemporary economics 13 (2019) 2, pp. 175-186

control and the sample period of FBMKLCI (from July 2009 to June 2015). Deploying the Johansen-Juselius cointegration test …

Persistent link: https://www.econbiz.de/10012176400

Non-normal identification for price discovery in high-frequency financial markets

Zema, Sebastiano Michele - 2020

problem with no need of increasing the computational complexity which usually arises when working at incredibly short time …

Persistent link: https://www.econbiz.de/10012308903

What Role Do Futures Markets Play in Bitcoin Pricing? Causality, Cointegration and Price Discovery From a Time-Varying Perspective

Hu, Yang - 2019

-varying cointegration tests of Park & Hahn (1999), and time-varying information share methodologies, concluding that futures prices Granger … investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using … appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi et al. (2018); time …

Persistent link: https://www.econbiz.de/10012864151

Present Value Model between Prices and Dividends with Constant and Time-Varying Expected Returns : Enterprise-Level Brazilian Stock Market Evidence from Non-Stationary Panels

Rivera Rivera, Edward; Martin, Diógenes; Marçal, … - 2022

estimators for panel cointegration models, stock prices are found to be overvalued under either constant or time-varying expected …. Considering the Present Value Model with Constant and Time-Varying Expected Returns, the evidence that real (log) prices and real …

Persistent link: https://www.econbiz.de/10013405493