Modeling and Forecasting Aggregate Stock Market Volatility in Unstable Environments using Mixture Innovation Regressions
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2466
Abstract: We examine whether it is possible to improve volatility forecasts by simultaneously accounting for parameter instability and model uncertainty. Changes in the regression coefficients and/or the error variance are driven by mixture distributions for state… read more here.
Keywords: volatility; stock market; modeling forecasting; mixture ... See more keywords
The impact of the US stock market opening on price discovery of government bond futures
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22015
Abstract: We examine price discovery in sequential markets for the 10‐year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US… read more here.
Keywords: stock market; price discovery; market; price ... See more keywords
Stock market undervaluation of resource redeployability
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DOI: 10.1002/smj.2775
Abstract: Research Summary: Stock market undervaluation of resources was often assumed to have strategic implications. Such undervaluation lets firms buy resources relatively cheaply, but it can also constrain resource deployment. This article shows that the option… read more here.
Keywords: option; undervaluation; stock market; redeployability ... See more keywords
Does stock market performance affect the government satisfaction rating in the UK?
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1156-7
Abstract: In this study, we attempt to answer the question of whether stock market performance affects the government satisfaction rating in the long run in a sample period spanning 1984:Q1 to 2013:Q2 in the UK. We… read more here.
Keywords: stock market; government satisfaction; market performance; government ... See more keywords
Do banking sector and stock market development matter for economic growth?
Sign Up to like & getrecommendations! Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-019-01692-7
Abstract: Financial development as a concept is multifaceted with no clear measurement or definition. Inference via individual proxies may result in an incomplete understanding of the relationship between financial development and economic growth, since sole proxies… read more here.
Keywords: growth; financial development; development; banking sector ... See more keywords
Dynamic network and own effects on abnormal returns: evidence from China’s stock market
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DOI: 10.1007/s00181-020-01979-0
Abstract: This paper addresses the question of how to model the process of abnormal returns on individual stocks. It postulates a framework, where abnormal returns are generated by a process which features two autoregressive components, one… read more here.
Keywords: network effects; stock; abnormal returns; stock market ... See more keywords
Constructing a multilayer network for stock market
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DOI: 10.1007/s00500-019-04026-y
Abstract: In this paper, we discuss the stock network construction problem under simultaneous consideration of linear and nonlinear relations between stocks. A novel method based on the conditional probability is proposed to describe the nonlinear relation… read more here.
Keywords: multilayer network; network; stock market;
Every Little Helps? ESG News and Stock Market Reaction
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Business Ethics"
DOI: 10.1007/s10551-017-3667-3
Abstract: Stories about corporate social responsibility have become very frequent over the past decade, and managers can no longer ignore their impact on firm value. In this paper, we investigate the extent and the determinants of… read more here.
Keywords: market; esg news; news; market reaction ... See more keywords
The artificial stock market model based on agent and scale-free network
Sign Up to like & getrecommendations! Published in 2017 at "Cluster Computing"
DOI: 10.1007/s10586-017-0991-4
Abstract: As a complex giant system, financial market has complexity characteristics with distinctive forms, which shakes theoretical basis of effective market hypothesis to challenge traditional paradigm for financial research. Based on agent-based computational economics, the work… read more here.
Keywords: artificial stock; market; stock market; model ... See more keywords
Using realistic trading strategies in an agent-based stock market model
Sign Up to like & getrecommendations! Published in 2018 at "Computational and Mathematical Organization Theory"
DOI: 10.1007/s10588-017-9258-0
Abstract: The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model… read more here.
Keywords: realistic trading; stock market; model; agent based ... See more keywords
Modeling Trading Behavior in the Japanese Stock Market During QE Tapering and Post-QE Exit
Sign Up to like & getrecommendations! Published in 2019 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-019-09272-6
Abstract: This study investigates the trading dynamics between institutional, foreign and retail investors during QE and post-QE exit in the Japanese stock market. A theoretical framework is developed to classify all transactions into trading, short-selling or… read more here.
Keywords: foreign retail; tapering post; post exit; japanese stock ... See more keywords