On Stock Market Return Co Movements

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On Stock Market Return Co-Movements

Author : Robert A. Connolly
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis On Stock Market Return Co-Movements by : Robert A. Connolly

Download or read book On Stock Market Return Co-Movements written by Robert A. Connolly and published by . This book was released on 2012 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document and explain the return co-movement for the U.S., U.K., and Japanese equity markets for the period of 1985-1996. Our empirical results show the importance of imperfect signal-extraction in explaining the equity market return co-movement. In such a setting, domestic investors try to extract the unobservable global factors from foreign market returns and use the extracted information in their subsequent domestic trading. In this imperfect learning environment, domestic investors respond to the foreign return signal more strongly if the signal is more precise. In addition, trading noise may also affect the return-generating process in domestic markets. We find this contagion effect is most pronounced in the extreme down markets.

Negative Returns Produce Higher Co-movement and Higher Variance in U.S. and Regional Stock Markets

Author : Raffi K. Basmadjian
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (142 download)

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Book Synopsis Negative Returns Produce Higher Co-movement and Higher Variance in U.S. and Regional Stock Markets by : Raffi K. Basmadjian

Download or read book Negative Returns Produce Higher Co-movement and Higher Variance in U.S. and Regional Stock Markets written by Raffi K. Basmadjian and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of cross-border links in stock market returns is a key issue in specialized finance. The existing literature studies the effect of volatility on stock index co-movement, the relation between the tail returns of two financial assets and the stock index co-movement in post-crisis events, all of which lead to a higher correlation in stock returns. In this paper, we analyze the effects of negative returns of 18 US and 40 regional stock indexes on the magnitude of the co-movement of these stock indexes and on the magnitude of their total variances. We find empirical evidence that negative returns increase the co-movement of these stock indexes as well as the variance of returns. Then we relate this differential correlation of negative returns to behavioral finance, in particular to loss aversion, and specifically the disposition effect, in the sense that the fear of investors in realizing losses leads to a smaller volume of trading, which results in less liquidity and hence higher ...

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)

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Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah

Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Behavioral Corporate Finance

Author : Hersh Shefrin
Publisher : College Ie Overruns
ISBN 13 : 9781259254864
Total Pages : 300 pages
Book Rating : 4.2/5 (548 download)

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Book Synopsis Behavioral Corporate Finance by : Hersh Shefrin

Download or read book Behavioral Corporate Finance written by Hersh Shefrin and published by College Ie Overruns. This book was released on 2017-04-16 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Co-movement of major commodity price returns: A time-series assessment

Author : de Nicola, Francesca
Publisher : Intl Food Policy Res Inst
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4./5 ( download)

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Book Synopsis Co-movement of major commodity price returns: A time-series assessment by : de Nicola, Francesca

Download or read book Co-movement of major commodity price returns: A time-series assessment written by de Nicola, Francesca and published by Intl Food Policy Res Inst. This book was released on 2014-06-13 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural, and food commodities using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure.

Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty

Author : Nikolaos Antonakakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty by : Nikolaos Antonakakis

Download or read book Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty written by Nikolaos Antonakakis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.

Inconsistency in the Theory of Stock Returns

Author : Bharti Publications
Publisher : Bharti Publications
ISBN 13 : 9381212015
Total Pages : 99 pages
Book Rating : 4.3/5 (812 download)

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Book Synopsis Inconsistency in the Theory of Stock Returns by : Bharti Publications

Download or read book Inconsistency in the Theory of Stock Returns written by Bharti Publications and published by Bharti Publications. This book was released on 2017-11-10 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Comovements in National Stock Market Returns

Author : Anthony John Richards
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Comovements in National Stock Market Returns by : Anthony John Richards

Download or read book Comovements in National Stock Market Returns written by Anthony John Richards and published by International Monetary Fund. This book was released on 1996-04 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.

The Internationalization of Equity Markets

Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)

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Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel

Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Attention Allocation and Return Co-Movement

Author : Shiyang Huang
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Attention Allocation and Return Co-Movement by : Shiyang Huang

Download or read book Attention Allocation and Return Co-Movement written by Shiyang Huang and published by . This book was released on 2017 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We hypothesize that when investors' attention to financial markets decreases, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors' attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days.

No Contagion, Only Interdependence

Author : Kristin Forbes
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis No Contagion, Only Interdependence by : Kristin Forbes

Download or read book No Contagion, Only Interdependence written by Kristin Forbes and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.

Co-Movements Between Germany and International Stock Markets

Author : Gazi Salah Uddin
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Co-Movements Between Germany and International Stock Markets by : Gazi Salah Uddin

Download or read book Co-Movements Between Germany and International Stock Markets written by Gazi Salah Uddin and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of co-movements of stock market returns is a fundamental issue in finance. The aim of this paper is to examine the co-movement between Germany and major International Stock Markets in the time-frequency space. Our sample period goes from 01 June 1992 to 26 March 2013 and includes the financial crisis that erupted in US financial institutions in the summer of 2007 and spread beyond the US to other developed economies in the first half of 2008. We use DCC-GARCH and wavelet-based measures of co-movements which make it possible to find a balance between the time and frequency domain features of the data. The results suggest that the difference in the co-movement dynamics could be the result of the different natures of the financial crises or a change in regime. The finding of this paper has relevant policy implications in asset allocation and risk management in designing international portfolios for investment decisions.

Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics

Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)

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Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung

Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

From Physics to Econophysics and Back: Methods and Insights

Author : Siew Ann Cheong
Publisher : Frontiers Media SA
ISBN 13 : 2889765199
Total Pages : 341 pages
Book Rating : 4.8/5 (897 download)

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Book Synopsis From Physics to Econophysics and Back: Methods and Insights by : Siew Ann Cheong

Download or read book From Physics to Econophysics and Back: Methods and Insights written by Siew Ann Cheong and published by Frontiers Media SA. This book was released on 2022-07-06 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Emerging Markets and the Global Economy

Author : Mohammed El Hedi Arouri
Publisher : Academic Press
ISBN 13 : 0124115632
Total Pages : 927 pages
Book Rating : 4.1/5 (241 download)

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Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri

Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies

Two Asias

Author : Steven Rosefielde
Publisher : World Scientific
ISBN 13 : 9814366269
Total Pages : 473 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Two Asias by : Steven Rosefielde

Download or read book Two Asias written by Steven Rosefielde and published by World Scientific. This book was released on 2012 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two Asias provides a fresh perspective on the Asia's disparate economic prospects in the wake of the 2008 global financial crisis and the Great Recession. The financial crisis, its propagation and real economic consequences are carefully documented, and used in conjunction with prior trends to identify the impending reconfiguration of wealth and power in Asia, and between Asia and the developed west. The study highlights Asia's cultural and systemic diversity, and suggests that China's, Vietnam's and South Korea's extraordinary catch-up during the last two decades is on the cusp of fading due to diverse technical, systemic and global reasons. It shows too that the West has learned little from the 2008 financial crisis, that the planetary macroeconomy is headed for a period of protracted turbulence, all of which suggests that the world community needs to rethink its expectations. These findings are the net assessment of an international team of experts assembled under the auspices of the Japan Foundation's Center for Global Policy, headed by Steven Rosefielde, Masaaki Kuboniwa and Satoshi Mizobata.