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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

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/10012138660

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Persistent link: https://www.econbiz.de/10011674278

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2016

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011587522

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

Pension benefit insurance and pension plan portfolio choice

Crossley, Thomas F.; Jametti, Mario - 2008

Pension benefit guarantee policies have been introduced in several countries to protect private pension plan members from the loss of income that would occur if a plan was underfunded when the sponsoring firm terminates a plan. Most of these public insurance schemes face financial difficulty and...

Persistent link: https://www.econbiz.de/10003803567

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10003965868

Stylized facts and simulating long range financial

Davies, Laurie; Krämer, Walter - 2016

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...

Persistent link: https://www.econbiz.de/10011444067

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/10012416151

Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...

Persistent link: https://www.econbiz.de/10011897589

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/10014304456