Similar Search Results

How did the asset markets change after the Global Financial Crisis?

Chang, Kuang-Liang; Leung, Ka Yui - 2021

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market...

Persistent link: https://www.econbiz.de/10012488927

SFDR, investor attention, and European financial markets

Birindelli, Giuliana; Chiappini, Helen; Jalal, Raja … - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473694

Stock indices breakdown during the pandemic as the most dynamic bear market in history : consequences for individual investors

Da̧browski, Piotr - In: Risks : open access journal 10 (2022) 1, pp. 1-12

The breakdown of stock indices is an obvious part of the financial market cycle. A common question about a bear market is the time and the depth of the downtrend, as well as the speed of the following recovery. As the COVID-19 pandemic spread globally, it induced huge price drops in a very short...

Persistent link: https://www.econbiz.de/10012745415

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

Persistent link: https://www.econbiz.de/10012171036

Do Fundamental Indexes Produce Higher Risk-Adjusted Returns than Market Cap Indexes? Evidence for European Stock Markets

Stotz, Olaf - 2010

A fundamental index weighs stocks proportionally to fundamentals such as book value, dividends, or sales. We …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to …

Persistent link: https://www.econbiz.de/10013138615

The interrelation between Baltic Dry Index a practical economic indicator and emerging stock market indices

Manoharan, M.; Visalakshmi, S. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10012041992

Forecasting of Nifty 50 and Nifty Midcap 50 stock market indices by using ARIMA model

Biswas, Anusuya; Jain, Anuradha - In: Finance India : the quarterly journal of Indian … 38 (2024) 1, pp. 187-202

Persistent link: https://www.econbiz.de/10015272987

Integrating macroeconomic and technical indicators into forecasting the stock market : a data-driven approach

Latif, Saima; Aslam, Faheem; Ferreira, Paulo; Iqbal, Sohail - In: Economies : open access journal 13 (2025) 1, pp. 1-28

macroeconomic indicators including gold and oil prices, the volatility index, economic policy uncertainty, the financial stress … index, geopolitical risk, and shadow short rate, with ten technical indicators. We propose three hybrid deep learning models … analysis using the Shapley method identifies the volatility index, financial stress index, and economic policy uncertainty as …

Persistent link: https://www.econbiz.de/10015207282

Analysis of the relationship between the VIX fear index and selected stock market indices

Ertuğrul, Ayşegül - In: Theory and practise finance, (pp. 33-44). 2024

Persistent link: https://www.econbiz.de/10015403538

LPPLS bubble indicators over two centuries of the S&P 500 index

Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016

S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S …

Persistent link: https://www.econbiz.de/10011514490