This paper studies the return behaviour at National Stock Exchange, India and the Rupee-Dollar exchange rate, using NSE's Nifty as the benchmark for stock returns, while INR-USD rate is used as the benchmark for exchange rate. The daily closing levels of the two benchmarks for a period beginning...

We compare low-frequency measures of effective spreads with their high-frequency counterparts. We find that some popular measures suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. We show that such distortions arise when...

We show how time-series of random market trade values and volumes completely describe stochasticity of stock returns. We derive equation that links up returns with current and past trade values and show how statistical moments of the trade values and volumes determine statistical moments of...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

This paper finds positive evidence of return predictability and investment gains for individual corporate bonds for an extended period from 1973 to 2017. Our sample consists of both public and private company bond observations. We have implemented multiple machine learning methods and designed a...

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders' expectations and implement a mechanical forecasting model that allows traders to predict future spot...

Harvey, Liu, and Zhu (2016) “argue that most claimed research findings in financial economics are likely false.” Surprisingly, their false discovery rate (FDR) estimates suggest most are true. I revisit their results by developing non- and semi-parametric FDR estimators that account for...