The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover...

In this paper, we analyze the profitability of investments in stocks from the RESPECT sustainability index at the Warsaw Stock Exchange (WSE) since its launch in year 2009 until the year 2018. We calculate raw returns for individual component stocks, estimate their beta coefficients as well as...

We find the well-documented U-shaped intraday patterns of stock liquidity, volume, and price volatility for the U.S. stock market have disappeared. Bid-ask spreads tend to decrease, not increase, toward the close of the trading day; trading volume disproportionally concentrates in the last five...

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an alternative to econometric models (OLS, ECM, and GARCH) and assesses the efficacy of the model when applied to the IBEX 35 for the period 2007-2015. The model is initially formulated...

As part of its unconventional monetary policy, since 2010 the Bank of Japan (BOJ) has purchased equity index exchange-traded funds (ETFs). The total purchased amount reached 3% of GDP and the bank has become among the largest shareholders in over 40% of listed companies. Because of the reduction...

Using the reconstitution of MSCI indices in seven Asian markets from 2006 to 2021, we discover arbitrage opportunities arising from index-tracking funds’ efforts to minimize tracking errors around the dates when index reconstitution changes become effective (i.e., effective dates). We document...

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

This paper presents a straightforward method for asymptotically removing the well-known upward bias in observed returns of equally-weighted portfolios. Our method removes all of the bias due to any random transient errors such as bid-ask bounce and allows for the estimation of short horizon...

The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...