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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market

Caporale, Guglielmo Maria - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

Persistent link: https://www.econbiz.de/10012838240

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

Persistent link: https://www.econbiz.de/10012845690

High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

Aggregate Insider Trading and Stock Market Volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014347820

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012837673

Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10013211113

Inside the Mind of a Stock Market Crash

Giglio, Stefano - 2020

We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...

Persistent link: https://www.econbiz.de/10012832080

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Görtz, Christoph - 2019

inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …

Persistent link: https://www.econbiz.de/10012860577

Bitcoin Fluctuations and the Frequency of Price Overreactions

Caporale, Guglielmo Maria - 2019

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

Persistent link: https://www.econbiz.de/10012892294