Similar Search Results

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10012622818

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

The Informational Content of High-Frequency Option Prices

Amaya, Diego - 2020

We propose the option realized variance as an observable variable to summarize information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute the option's total variability for a given day. Using the S&P 500 index time series and...

Persistent link: https://www.econbiz.de/10012854257

Tail Relation between Return and Volume in the US Stock Market : An Analysis Based on Extreme Value Theory

Longin, François - 2016

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the...

Persistent link: https://www.econbiz.de/10012987474

The Endogeneity of Trading Volume in Stock and Bond Returns : An Instrumental Variable Approach

Yamani, Ehab Abdel-Tawab; Rakowski, David A. - 2020

This paper investigates the joint determination of two dimensions of a security: trading volume and return. In much of the existing literature, volume is modeled as being exogenously related to security returns. Our analysis evaluates the extent to which trading activity also depends on security...

Persistent link: https://www.econbiz.de/10014123699

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

Evidence of Stock Returns and Abnormal Trading Volume : A Quantile Regression Approach

Chen, Cathy W. S. - 2015

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks,...

Persistent link: https://www.econbiz.de/10013029438

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

Persistent link: https://www.econbiz.de/10003727673