Information Flow And Price Comovements PDF Download
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| Author | : Dr. Kedar Nath Mukherjee |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Information Flow and Price Comovements Book in PDF, ePub and Kindle
This study investigates how the comovement of stock price in both spot as well as derivative market depends upon the flow of information in those markets and how it varies over a period of time. The price comovements in both spot and futures market have been studied at the index level, industry level and also at the stock level. This study applies Engle and Granger's (Engle and Granger, 1987) test of causality and cointegration, and Geweke [J. Am. Stat. Assoc. 76(1982) 304] measure of feedback to empirically investigate the hypothesis that there is instantaneous flow of information among spot and futures market and there is no such cause and effect relationship among the stock prices in those markets.We employ daily data for NIFTY spot index, NIFTY futures index, and also the daily prices of some selected stocks listed in both the spot as well as the derivative market, over a period from January 2002 to June 2004.It is found that both the spot and futures price series possess unit root and both of them are cointegrated in almost all the cases (i.e. at index level and also at stock level). But as far as the flow of information is concerned, it shows some mixed evidence. The direction in the flow of information from one market to another keeps changing over a periods of time. It varies also from one underlying stock to another.
| Author | : Jeffrey A. Frankel |
| Publisher | : University of Chicago Press |
| Total Pages | : 428 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 0226260216 |
Download The Internationalization of Equity Markets Book in PDF, ePub and Kindle
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
| Author | : Wei Xiong |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Investor Attention and Time-Varying Comovements Book in PDF, ePub and Kindle
This paper analyzes the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realized volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock's idiosyncratic realized volatility with respect to the Samp;P 500 futures relative to its total realized volatility to capture the asset price comovement with the market. We find that market volatility and the comovement of individual stocks with the market increase contemporaneously with the arrival of market-wide macroeconomic shocks, but decrease significantly in the following five trading days. This pattern supports the hypothesis that investors shift their (limited) attention to processing market-level information following an increase in market-wide uncertainty and then subsequently divert their attention back to asset-specific information.
| Author | : Andreas Storkenmaier |
| Publisher | : KIT Scientific Publishing |
| Total Pages | : 188 |
| Release | : 2014-08-22 |
| Genre | : Business & Economics |
| ISBN | : 3866446942 |
Download Financial Markets and Public Information Book in PDF, ePub and Kindle
The last decades have seen dramatic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market participants around the world within fractions of a second using electronic systems. Currently, most news is still interpreted by humans but news providers have started to offer newswire products with machine learning systems that specifically cater to algorithmic traders. In practice, newswire messagesmake up a major part of the public information set available to investors. This book studies how newswire messages impact modern electronic equity markets.
| Author | : Mr. Eugenio M Cerutti |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2024-07-19 |
| Genre | : |
| ISBN | : |
Download The Global Financial Cycle: Quantities Versus Prices Book in PDF, ePub and Kindle
We quantify the importance of the Global Financial Cycle (GFCy) in domestic credit and various local asset prices and compare it with that in capital flows. Using 2000-2021 data for 76 economies and a simple methodology, we find that each respective series’ common factor and conventional US GFCy-drivers together typically explain about 30 percent of the variation in domestic credit, up to 40 percent in stock market returns, about 60 percent in house prices, and more than 75 percent in interest rates and government bond spreads. These median estimates much exceed the 25 percent for capital flows. Our findings help to put the existing literature into context and have important implications for economic and financial stability policies, notably for the usage of quantity tools (e.g., FX interventions) that impact asset prices.
| Author | : Nasha Ananchotikul |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2014-08-19 |
| Genre | : Business & Economics |
| ISBN | : 1498340229 |
Download Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Book in PDF, ePub and Kindle
In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
| Author | : G. Constantinides |
| Publisher | : Elsevier |
| Total Pages | : 698 |
| Release | : 2003-11-04 |
| Genre | : Business & Economics |
| ISBN | : 0080495087 |
Download Handbook of the Economics of Finance Book in PDF, ePub and Kindle
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
| Author | : H. Kent Baker |
| Publisher | : Oxford University Press |
| Total Pages | : 701 |
| Release | : 2013-01-17 |
| Genre | : Business & Economics |
| ISBN | : 0199754659 |
Download International Finance Book in PDF, ePub and Kindle
Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.
| Author | : Hersh Shefrin |
| Publisher | : College Ie Overruns |
| Total Pages | : 300 |
| Release | : 2017-04-16 |
| Genre | : Corporations |
| ISBN | : 9781259254864 |
Download Behavioral Corporate Finance Book in PDF, ePub and Kindle
| Author | : Raja Velu |
| Publisher | : CRC Press |
| Total Pages | : 378 |
| Release | : 2020-08-12 |
| Genre | : Business & Economics |
| ISBN | : 1498737218 |
Download Algorithmic Trading and Quantitative Strategies Book in PDF, ePub and Kindle
Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.
