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Forecasting Base Metal Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolas - 2018

In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index and of the six primary non-ferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc. The economic relationship hinges on the present-value...

Persistent link: https://www.econbiz.de/10015258752

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable … volatility in G, is this volatility usable as part of a contrarian "buy low, sell high" strategy? If yes, how? In answer to these …

Persistent link: https://www.econbiz.de/10015260519

The Unusual Trading Volume and Earnings Surprises in China’s Market

Chong, Terence Tai Leung; Wu, Yueer - 2018

This study examines the empirical relationship between unusual trading volume and earnings surprises in China's A-share market. We provide evidence that an unusually low trading volume contains negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal...

Persistent link: https://www.econbiz.de/10015263051

Institutional Investor Attention and Firm Disclosure

Abramova, Inna; Core, John; Sutherland, Andrew - 2019

variation in the quantity of disclosure, we find little change in abnormal volume and volatility, the bid-ask spread, or depth …

Persistent link: https://www.econbiz.de/10015263950

ANALISIS PERBANDINGAN FINANCIAL DISTRESSPADA PERUSAHAAN KONSTRUKSI DI BURSA EFEK INDONESIA TAHUN 2014 –2018

Fitri Amalia, Rizki - 2019

This study aims to analyze the comparison of financial distress in construction companies in the Indonesia Stock Exchange in 2014 -2018 using 5 methods are Altman Z-Score, Falmer, Grover, Springate and Zmijewski methods. The samplingtechnique used was purposive sampling. The sample in this study...

Persistent link: https://www.econbiz.de/10015264055

Can Canadian Stock market provide complete hedge against Inflation ?

NEIFAR, MALIKA; HarzAllah, AMIRA - 2020

This study empirically assesses the relationship between inflation and stock return in Canadian stock market. The study has covered data for the period 1999 :M1−2018 :M4 of canadian economy. Inflation has been decomposed to predicted and unpredicted phase by MA filter. First it has tested...

Persistent link: https://www.econbiz.de/10015266835

On the random walk characteristics of stock returns in India

Hiremath, Gourishankar S; Bandi, Kamaiah - 2009

An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

Persistent link: https://www.econbiz.de/10015236788

Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test

Hiremath, Gourishankar S; Bandi, Kamaiah - 2010

This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...

Persistent link: https://www.econbiz.de/10015236791

Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review

Hiremath, Gourishankar S - 2009

The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Persistent link: https://www.econbiz.de/10015236795

Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence

Hiremath, Gourishankar S; Bandi, Kamaiah - 2011

The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory...

Persistent link: https://www.econbiz.de/10015237916