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Do Artificial Neural Networks Provide Improved Volatility Forecasts : Evidence from Asian Markets

Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos S - 2021

Forecasts of stock market volatility is an important input for market participants in measuring and managing investment risks. Thus, understanding the most appropriate methods to generate accurate is key. This paper examines the ability of Machine Learning methods, and specifically Artificial...

Persistent link: https://www.econbiz.de/10013310404

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market …

Persistent link: https://www.econbiz.de/10011487829

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011456764

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 11 (2023) 1, pp. 1-12

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10014500683

When and Why Do Stock and Bond Markets Predict Economic Growth?

McMillan, David G. - 2019

is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading …

Persistent link: https://www.econbiz.de/10012860534

Average Skewness in Global Equity Markets

Atilgan, Yigit - 2020

This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by Jondeau et al. (2019, JFE) for US market returns in an international setting. First, after confirming the validity of the US results for the sample period...

Persistent link: https://www.econbiz.de/10012822514

Predicting GDP Growth with Stock and Bond Markets : Do They Contain Different Information?

McMillan, David G. - 2019

distinct predictive information. Notably, predictive power emanating from the stock return series appears stronger over shorter … information content for future output growth. This view is further supported by forecast results whereby a model that includes … stock returns contain additional information over that presented by the term structure alone …

Persistent link: https://www.econbiz.de/10012891593

Interrelation and Spillover Effects Between Stocks and Bonds : Cross-Market and Cross-Asset Evidence

McMillan, David G. - 2019

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

Persistent link: https://www.econbiz.de/10012892340

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223

Liquidity and Equity Returns in Borsa Istanbul

Atilgan, Yigit - 2016

We investigate the relationship between expected returns and liquidity measures in Borsa Istanbul. To do so, we gather a wide range of illiquidity measures that can be applied to the market. Firm-level cross-sectional regressions indicate that there is a positive relationship between various...

Persistent link: https://www.econbiz.de/10013004753