Similar Search Results

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272

Price impact and the recovery of the limit order book : why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

We examine the dynamics of the limit order book recovery in the purely order-driven markets. The configuration of the current limit placements in the order book determines the costs over the mid-quote for the buy and sell trades. By analyzing the relationship between the costs of the possible...

Persistent link: https://www.econbiz.de/10011317119

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

Persistent link: https://www.econbiz.de/10010499593

Oil Shock Transmission to Stock Market Returns : Wavelet-Multivariate Markov Switching GARCH Approach

Jammazi, Rania - 2011

Since oil prices are typically governed by nonlinear and chaotic behavior, it's become rather difficult to capture the dominant properties of their fluctuations. In recent years, unprecedented interest emerged on the decomposition methods in order to capture drifts or spikes relatively to this...

Persistent link: https://www.econbiz.de/10013132614

A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

Persistent link: https://www.econbiz.de/10013107722

Investigating Seasonal Patterns in Developing Countries : The Case of FYROM Stock Market

Georgantopoulos, Andreas G. - 2019

This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week...

Persistent link: https://www.econbiz.de/10012905636

The Role of a Latent Value-Relevant Measure in Tracking and Predicting Stock Returns : A FAVAR Approach

Awwal, Faisal M. - 2020

factors that are broadly captured by big data. We use a two-step principal components estimation approach to extract the …

Persistent link: https://www.econbiz.de/10012830124

Time varying spillovers between the online search volume and stock returns : case of CESEE markets

Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 4/59, pp. 1-30

This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between...

Persistent link: https://www.econbiz.de/10012150478

Are Stock Returns Predictable? Rewarding Patient Investors & Powerful Binding Equilibriums

McCloskey, PJ - 2020

Stock markets worldwide have rewarded patient investors, hence the common advice to ‘buy and hold'. Yet even with a large body of research over a prolonged period, proving this concept remains an onerous exercise for academics. We use Tobin's Q and the dividend yield to build an equilibrium...

Persistent link: https://www.econbiz.de/10012845670

Revisiting the Duration Dependence in the US Stock Market Cycles

Zakamulin, Valeriy - 2020

market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

Persistent link: https://www.econbiz.de/10012833990