Multifactor Market Indexes
In: Mays Business School Research Paper No. 3086832
9976 Ergebnisse
Sortierung:
In: Mays Business School Research Paper No. 3086832
SSRN
Working paper
SSRN
Working paper
In: The journal of business, Band 39, Heft S1, S. 191
ISSN: 1537-5374
In: American Journal of Social and Management Sciences: AJSMS, Band 2, Heft 1, S. 126-170
ISSN: 2156-1559
In: Human: research in rehabilitation, Band 9, Heft 1, S. 73-81
ISSN: 2232-996X
This study analyzes the impact of conventional index (SASX-30) on Islamic index (SASE-BBI) in Bosnia and Herzegovina. In the study are used daily index observations spanning in a period from October 2016 until May 2018. The data is obtained from the Sarajevo Stock Exchange database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant negative impact of conventional index volatility (SASX-30) on Islamic index volatility (SASX-BBI) in Bosnia and Herzegovina.
In: Review of financial economics: RFE, Band 15, Heft 1, S. 28-48
ISSN: 1873-5924
AbstractI use parametric and semiparametric methods to test for the order of integration in stock market indexes. The results, which are based on the EOE (Amsterdam), DAX (Frankfurt), Hang Seng (Hong Kong), FTSE100 (London), S&P500 (New York), CAC40 (Paris), Singapore All Shares, and the Japanese Nikkei, show that in almost all of the series the unit root hypothesis cannot be rejected. The Hang Seng and the Singapore All Shares seem to be the most nonstationary series with orders of integration higher than one, and the S&P500 is the less nonstationary series, with values smaller than one and showing mean reversion.
SSRN
SSRN
SSRN
In: Eastern European economics: EEE, Band 50, Heft 1, S. 26-45
ISSN: 1557-9298
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 24, Heft 2, S. 179-204
ISSN: 1475-6803
AbstractOur objective is to investigate the short‐term over‐ or underreaction of six U.S. stock market indexes. We find evidence of a one‐day underreaction for winners (days on which an index experiences abnormally high returns) and losers (days on which an index experiences abnormally poor performance). We also find strong evidence of a sixty‐day underreaction for winners. For losers, abnormal returns turn from negative to positive as the period is extended, resulting in significant reversals over the sixty‐day period. Results are generally consistent for each of the six indexes. Overall, these results provide strong support for the uncertain information hypothesis.JEL classification: G14
The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how this interaction changes in short time scales using high frequency data. Using a correlation-based analysis approach, we find that in short time scales stocks have a stronger influence on the index. These findings have implications for high frequency trading and suggest that the price of an index should be published on shorter time scales, as close as possible to those of the actual transaction time scale. ; We would like to thank Yoash Shapira, Idan Michaeli and Dustin Plotnick for all of their help. DYK and EBJ acknowledge support in part by the Tauber Family Foundation and the Maguy-Glass Chair in Physics of Complex Systems at Tel Aviv University. HES and DYK thank the support of the Office of Naval Research (ONR, Grant N00014-09-1-0380, Grant N00014-12-1-0548), Keck Foundation and the NSF (Grant CMMI 1125290) for support. This work was also supported by the Intelligence Advanced Research Projects Activity (IARPA) via Department of Interior National Business Center (DoI/NBC) contract number D12PC00285. The U.S. Government is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright annotation thereon. Disclaimer: The views and conclusions contained herein are those of the authors and should not be interpreted as necessarily representing the official policies or endorsements, either expressed or implied, of IARPA, DoI/NBC, or the U.S. Government. (Tauber Family Foundation; Maguy-Glass Chair in Physics of Complex Systems at Tel Aviv University; N00014-09-1-0380 - Office of Naval Research (ONR); N00014-12-1-0548 - Office of Naval Research (ONR); Keck Foundation; CMMI 1125290 - NSF; D12PC00285 - Intelligence Advanced Research Projects Activity (IARPA) via Department of ...
BASE
In: Journal of economics and business, Band 34, Heft 4, S. 387-390
ISSN: 0148-6195
In: Scientific Reports 3, Article number: 2110
SSRN
SSRN
Working paper