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Explaining the Negative Returns to VIX Futures and ETNs : An Equilibrium Approach

Eraker, Bjorn - 2014

returns. In this model, increases in volatility endogenously lead to decreasing stock prices. Our model explains the negative …

Persistent link: https://www.econbiz.de/10013062522

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

Persistent link: https://www.econbiz.de/10011539896

Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?

Hanauer, Matthias X. - 2015

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Persistent link: https://www.econbiz.de/10013034756

Measuring the effect of the North Korea-U.S. summit on the South Korean stock market

Huy Pham; Al-Hares, Osama M.; Ramiah, Vikash; Moosa, Nisreen - In: Cogent economics & finance 7 (2019) 1, pp. 1-22

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

Persistent link: https://www.econbiz.de/10014232764

Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets

Chabot, Benjamin Remy - 2014

We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our...

Persistent link: https://www.econbiz.de/10013070475

Climate Change Exposure and Stock Return Predictability

Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021

This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...

Persistent link: https://www.econbiz.de/10013248340

The effect of the royal wedding on the UK stock market

Huy Pham; Ramiah, Vikash; Le, Hanh; Moosa, Nisreen; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-12

We assess the effect of the recent royal wedding of Prince Harry and Meghan Markle on various sectors of the UK stock market over the period between November 2017 and May 2018. For this purpose, the event study methodology is used to estimate abnormal returns and conduct several robustness tests...

Persistent link: https://www.econbiz.de/10013373011

Ex Ante Skewness and Expected Stock Returns

Conrad, Jennifer S. - 2012

' volatility, skewness, and kurtosis are strongly related to subsequent returns. Specifically, we find a negative relation between … volatility and returns in thecross-section. We also find a significant relation between skewness and returns, with more …

Persistent link: https://www.econbiz.de/10013116546

Price Limits and Volatility : A New Approach and Some New Empirical Evidence from the Tokyo Stock Exchange

Nobanee, Haitham - 2017

occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility …

Persistent link: https://www.econbiz.de/10012976789