Asymmetrical Responses To Stock Return News Evidence From Global Markets Based On A Bayesian Model PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Asymmetrical Responses To Stock Return News Evidence From Global Markets Based On A Bayesian Model PDF full book. Access full book title Asymmetrical Responses To Stock Return News Evidence From Global Markets Based On A Bayesian Model.
| Author | : Thomas Chinan Chiang |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Asymmetrical Responses to Stock Return News - Evidence from Global Markets Based on a Bayesian Model Book in PDF, ePub and Kindle
This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock-index returns are positively correlated with a composite of stock-return news, which is obtained by a weighted average of lagged domestic and US stock-index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does.
| Author | : Vladik Kreinovich |
| Publisher | : Springer |
| Total Pages | : 788 |
| Release | : 2017-11-30 |
| Genre | : Technology & Engineering |
| ISBN | : 3319709429 |
Download Predictive Econometrics and Big Data Book in PDF, ePub and Kindle
This book presents recent research on predictive econometrics and big data. Gathering edited papers presented at the 11th International Conference of the Thailand Econometric Society (TES2018), held in Chiang Mai, Thailand, on January 10-12, 2018, its main focus is on predictive techniques – which directly aim at predicting economic phenomena; and big data techniques – which enable us to handle the enormous amounts of data generated by modern computers in a reasonable time. The book also discusses the applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that employs mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. It is therefore important to develop data processing techniques that explicitly focus on prediction. The more data we have, the better our predictions will be. As such, these techniques are essential to our ability to process huge amounts of available data.
| Author | : |
| Publisher | : |
| Total Pages | : 672 |
| Release | : 2007 |
| Genre | : International finance |
| ISBN | : |
Download Multinational Finance Journal Book in PDF, ePub and Kindle
| Author | : Hersh Shefrin |
| Publisher | : Elsevier |
| Total Pages | : 636 |
| Release | : 2008-05-19 |
| Genre | : Business & Economics |
| ISBN | : 0080482244 |
Download A Behavioral Approach to Asset Pricing Book in PDF, ePub and Kindle
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
Download Efficiency and Anomalies in Stock Markets Book in PDF, ePub and Kindle
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Jonathan Batten |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 745 |
| Release | : 2011-03-02 |
| Genre | : Business & Economics |
| ISBN | : 0857247530 |
Download The Impact of the Global Financial Crisis on Emerging Financial Markets Book in PDF, ePub and Kindle
The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.
| Author | : Mohammed Abdellaoui |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 245 |
| Release | : 2008-08-29 |
| Genre | : Business & Economics |
| ISBN | : 3540684360 |
Download Advances in Decision Making Under Risk and Uncertainty Book in PDF, ePub and Kindle
Whether we like it or not we all feel that the world is uncertain. From choosing a new technology to selecting a job, we rarely know in advance what outcome will result from our decisions. Unfortunately, the standard theory of choice under uncertainty developed in the early forties and fifties turns out to be too rigid to take many tricky issues of choice under uncertainty into account. The good news is that we have now moved away from the early descriptively inadequate modeling of behavior. This book brings the reader into contact with the accomplished progress in individual decision making through the most recent contributions to uncertainty modeling and behavioral decision making. It also introduces the reader into the many subtle issues to be resolved for rational choice under uncertainty.
| Author | : Sushil Bikhchandani |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2000 |
| Genre | : Capital market |
| ISBN | : |
Download Herd Behavior in Financial Markets Book in PDF, ePub and Kindle
| Author | : |
| Publisher | : |
| Total Pages | : 840 |
| Release | : 2004-07 |
| Genre | : Finance |
| ISBN | : |
Download Finance India Book in PDF, ePub and Kindle
| Author | : Gautam Mitra |
| Publisher | : John Wiley & Sons |
| Total Pages | : 384 |
| Release | : 2011-07-13 |
| Genre | : Business & Economics |
| ISBN | : 1119990807 |
Download The Handbook of News Analytics in Finance Book in PDF, ePub and Kindle
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.
