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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

Persistent link: https://www.econbiz.de/10011325814

Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011760331

Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data

Grigoryeva, Lyudmila - 2017

volatility description and forecasting performances. A set of three major asynchronous international stock market indices is used …

Persistent link: https://www.econbiz.de/10012971773

Jump Interdependencies : stochastic linkages among international stock markets

Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012822184

Copula Based Impulse Response Analysis of Linkages Between Stock Markets

Doman, Ryszard - 2010

As the effect of increasing speed of the information spreading and ease in the capital moving, interdependencies between markets and market participants, both within and across national boundaries, have strengthened during last few decades. Closer linkages between international markets can...

Persistent link: https://www.econbiz.de/10013143076

Testing and Dating Structural Breaks in Generalized Linear Multivariate Models for Stock Market Contagion

Adesanya, Oladunni - 2020

addition, we assess the relevance of distinct breaks for estimating models of volatility spillovers. We present evidence of … in the conditional correlations and provide evidence of contagion. We detect time-variation in volatility spillovers and …

Persistent link: https://www.econbiz.de/10014096507

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

Persistent link: https://www.econbiz.de/10003727673

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

Persistent link: https://www.econbiz.de/10013272684

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

On the detection of extreme movements and persistent behaviour in Mediterranean stock markets : a wavelet-based approach

Aloui, Chaker; Nguyen, Duc Khuong - In: Applied economics 46 (2014) 22/24, pp. 2611-2622

Persistent link: https://www.econbiz.de/10010417178