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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

International Stock Market Cointegration Under the Risk-Neutral Measure

Gagnon, Marie-Hélène - 2016

This paper investigates international cointegration and financial integration among equity market indexes using index … option data, providing an ex-ante analysis through investor anticipations. Daily time series of risk-neutral variance … exogenous. Outside the global crisis period, the cointegration relationship is more fragmented, especially for higher …

Persistent link: https://www.econbiz.de/10012986081

Information Transmission between International Stock Markets and Bucharest Stock Exchange During a Turbulent Period (2007-2009)

Tudor, Cristiana - 2010

This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...

Persistent link: https://www.econbiz.de/10013147798

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

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017

In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

Persistent link: https://www.econbiz.de/10011674010

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018

In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

Persistent link: https://www.econbiz.de/10011812671

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

Non-Linear Dynamic Linkages in the International Stock Markets

Ozdemir, Zeynel Abidin; Cakan, Esin - 2009

This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others....

Persistent link: https://www.econbiz.de/10014200485

Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model

Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012

advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and … these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …

Persistent link: https://www.econbiz.de/10014043638

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