This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

We start this paper by presenting compelling evidence of short-term momentum in the excess returns on the S&P Composite stock price index. For the first time ever, we assume that the excess returns follow an autoregressive process of order p, AR(p), and evaluate the parameters of this process....

Stock prices declined abruptly in the wake of the Covid-19, reflecting both the deterioration of investors’ expectations of economic activity as well as the surge in risk aversion. In the following months, however, economic activity remained sluggish while equity markets bounced back. This...

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows both to test for existence of any seasonal patterns against the broad null hypothesis of no seasonality and to isolate most...

This article uses a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both the conditional mean and the conditional variance of stock returns. The model sorts returns into a high-return stable state and a low-return volatile state. We label these as...

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...