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Displaying results 1 to 17 of 17.

  1. Stock market development and economic growth
    empirical evidence from China
    Author: Pan, Lei; Mishra, Vinod
    Published: [2016]
    Publisher:  [Monash University, Monash Business School, Department of Economics], [Canberra]

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    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Monash Business School, Department of Economics ; 16, 16
    Subjects: China; Stock Market; Unit Root; Cointegration; Economic Growth
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Time-varying stock return correlation, news shocks, and business cycles
    Author: Metiu, Norbert; Prieto, Esteban
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the... more

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    The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some other widely used financial indicators. The macroeconomic effects of an innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future productivity. Thus, market-wide changes in return correlation contain information about changes in future technological developments.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299369
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    hdl: 10419/269866
    Edition: November 25, 2022
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 05
    Subjects: Business Cycles; News Shock; Stock Market; Uncertainty
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Fiscal policy and stock markets at the effective lower bound
    Author: André, Christophe; Caraiani, Petre; Gupta, Rangan
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 09 (May 2023)
    Subjects: Fiscal policy; Effective lower bound; VAR; Stock Market
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  4. Credit scarcity in developing countries
    an empirical investigation using Brazilian firm-level data
    Published: 2014
    Publisher:  Centro Studi Luca d'Agliano, [Milano]

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    Series: Development studies working papers / Centro Studi Luca d'Agliano ; 372
    Subjects: Credit Constraint; Firm’s Investment; Cash Flow; Exports; Stock Market
    Scope: Online-Ressource (18 S.)
  5. Quantifying sentiment for the Japanese economy as predictors of stock prices
    Author: Ishijima, Hiroshi
    Published: 2014
    Publisher:  Columbia Business School, Center on Japanese Economy and Business, New York, NY

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    Media type: Book
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    Series: Working paper series ; 338
    Subjects: Sentiment; Nikkei; Stock Market; Predictability; Text Mining; Big Data
    Scope: Online-Ressource (23 S.), graph. Darst.
  6. Attention to extreme returns
    Author: Godker, Katrin; Lukas, Moritz
    Published: [2021]
    Publisher:  Netspar, Network for Studies on Pensions, Aging and Retirement, [Tilburg]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February 8, 2021
    Series: Array ; 2021, 038 (02)
    Subjects: Attention; Investor Behavior; Stock Market; Experiments
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  7. Price effects after one-day abnormal returns and crises in the stock markets
    Author: Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Lee, Chien-Chiang
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 22 (May 2022)
    Subjects: Momentum Effect; Contrarian Effect; Abnormal Returns; Stock Market; Crisis
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
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    Datei wurde von der herausgebenden Institution entfernt
  8. Volatility Control Mechanisms
    The International Experience and the Evidence from Hong Kong
    Author: Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan
    Published: 2022
    Publisher:  SSRN, [S.l.]

    This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of... more

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    This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented among major international security markets. After reviewing the institutional details of VCMs, this study empirically investigates the impact of VCMs to Hong Kong’s stock market. Our results show that VCMs are able to curb further price swings. We also find that there is a reduction in the effective bid-ask spreads, and an increase in the depth and trading volume when trading is resumed after the cooling-off period. Furthermore, both difference-in-difference regression (DID) and regression discontinuity design (RDD) analysis show that the improvement in liquidity is statistically significant, especially in terms of the effective bid-ask spreads and depth.* This paper was written while F.Y. Eric Lam was a Senior Manager at the Hong Kong Institute for Monetary and Financial Research

     
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    Series: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP ; No. 03/2022
    Subjects: Market Microstructure; Price limit; Volatility Control Mechanism; Stock Market
    Other subjects: Array
    Scope: 1 Online-Ressource (46 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2022 erstellt
  9. Aye corona!
    the contagion effects of being named corona during the COVID-19 pandemic
    Author: Corbet, Shaen; Hou, Yang; Hu, Yang; Lucey, Brian M.; Oxley, Les
    Published: April 2020
    Publisher:  University of Waikato, Hamilton, New Zealand

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    Series: Working paper in economics / University of Waikato ; 20, 4
    Subjects: COVID-19; Coronavirus; Contagion; Stock Market; Sentiment
    Scope: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  10. The impact of the ECB banking supervision announcements on the EU stock market
    Author: Baglioni, Angelo; Monticini, Andrea; Peel, David
    Published: [2021]
    Publisher:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to... more

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    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to the volatility of the Bank Stock Index for Europe and Italy. Most announcements signal the need to raise more regulatory capital and lead to negative returns in the stock market, thus increasing the cost of raising new capital. Our study is related to previous ones (by Bernanke and Kuttner) focusing on the impact of monetary policy announcements on the stock exchange.

     
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    hdl: 10419/264300
    Series: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 112 (November 2021)
    Subjects: Banking Supervision; ECB; GARCH; Stock Market
    Scope: 1 Online-Ressource (circa 22 Seiten)
  11. Dynamic interdependence and volatility transmission from the American to the Brazilian stock market
    Author: Monte, Edson Zambon; Defanti, Lucas Barbosa
    Published: [2021]
    Publisher:  EERI, Economics and Econometrics Research Institute, Brussels, Belgium

    The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology,... more

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    The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology, considering the period from January 2007 to December 2019. In the periods considered as "critical events" there was a significant increase in the conditional covariance between SP500 and Brazilian stock indexes (IBOVESPA and sector indices), which suggests for the hypothesis of financial contagion. The covariance increased more intensely and persistently during the so-called subprime crisis, one that had a major impact on the Brazilian economy, especially for the financial and industrial indexes. Furthermore, conditional variance estimates for Brazilian indexes revealed that that internal turmoil, whether economic or political, regardless of the international scenario ("critical events"), affected the volatility of the Brazilian stock market. These results have important implications regarding the future decisions of economic agents (politicians and investors), contributing to a better understanding of the behavior of the Brazilian stock market vis-à-vis the American stock market and the internal turbulences in the Brazilian economy, whether political or economic.

     
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    Media type: Book
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    hdl: 10419/251113
    Series: EERI research paper series ; no 2021, 09
    Subjects: United States; Brazil; Stock Market; Volatility; GARCH-BEKK
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  12. Essays on asset pricing, investor preferences, and derivative markets
    Author: Koëter, Joren
    Published: [2021]
    Publisher:  Tilburg University, Tilburg

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    Language: English
    Media type: Dissertation
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    ISBN: 9789056686604
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    Series: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 659 (2021)]
    Subjects: Derivative markets; Investors; Asset Pricing Models; Asset Pricing; Asset Pricing Puzzle; Prohability Weighting; Stock Market; Risk Premia; Cross Section; Skweness; Option Prices
    Scope: 1 Online-Ressource (circa 215 Seiten), Illustrationen
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    Dissertation, Tilburg University, 2021
  13. Taxes and the Fed
    theory and evidence from equities
    Author: Diercks, Anthony M.; Waller, William
    Published: August 16, 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    VS 412 (2017,104)
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    Edition: This version: August 16, 2017
    Series: Finance and economics discussion series ; 2017, 104
    Subjects: Federal Reserve; Fiscal policy; News Decomposition; Stock Market
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  14. The economic costs of diplomatic conflict
    Author: Kim, Hyejin; Lee, Jungmin
    Published: 2020. 11
    Publisher:  Bank of Korea, Seoul, Korea

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    Series: BOK working paper ; no. 2020, 25
    Subjects: Economic Sanction; Geopolitical Events; Tourism; Stock Market; South Korea; China; Synthetic Control Method
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  15. Limited participation in equity markets and business cycles
    Author: Morelli, Juan M.
    Published: April 16, 2021
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Series: Finance and economics discussion series ; 2021, 026
    Subjects: Limited Participation; Monetary Policy; Stock Market; Investment; Business Cycle
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  16. Predictive analytics on emotional data mined from digital social networks with a focus on financial markets
    Author: Nann, Stefan
    Published: 2020
    Publisher:  Universitäts- und Stadtbibliothek Köln, Köln

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    UB Weimar
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    Contributor: Grahl, Jörn (AkademischeR BetreuerIn); Schoder, Detlef (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Predictive Analytics; Sentiment Analysis; Social Network Analysis; Social Media; Big Data Analytics; Stock Market
    Scope: 1 Online-Ressource (circa 138 Seiten)
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Universität zu Köln, 2020
  17. The Souk Al-Manakh: the anatomy of a pure price-chasing bubble
    Author: Veneroso, Frank; Pasquali, Mark
    Published: March 2021
    Publisher:  Levy Economics Institute, Annandale-on-Hudson, NY

    It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the... more

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    It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the dot-com peak 20 years ago. In both instances, a very broad subset of stocks became so highly valued that speculation in them had to be untethered from all fundamentals: the essence of what we call a "pure price-chasing bubble." This paper, drawn from a book in progress, examines the history of stock markets for comparable pure price-chasing bubbles, finding nine or so which have ever reached such a speculative extreme, with an over-the-counter market in Kuwait in the early 1980s called the "Souk al-Manakh" representing the most extreme example. Based on my personal exposure to this Souk al-Manakh almost 40 years ago, I describe this anatomy and thereby make transparent the recurrent dynamics - on the way up and on the way down - of these greatest asset bubbles in human history. When one applies this framework to the current US stock market, one sees that the stock market in the US today will likely follow the disastrous path of the dot-com market.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    hdl: 10419/238677
    Series: Working paper / Levy Economics Institute of Bard College ; no. 987
    Subjects: Asset Bubble; Stock Market; Over-the-Counter Markets; Price-Chasing Bubble; Conventions
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen