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Co-Movement Segmentation: Inter- and Intra-Industry Return Co-Movement
SSRN Electronic Journal, 2018The literature has shown a substantial relation between stock return co-movement and macroeconomic variables. Our results contribute to the research by separating the stock return co-movement into intra- and inter-industry return co-movement and found that the predictive power comes mainly from the inter-industry return co-movement. We found that there
Ben Liu, Wen Xiao
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International co-movements of inflation, 1851–1913
Oxford Economic Papers, 2023Abstract We study inflation in a group of 15 countries before and during the classical Gold Standard using annual data spanning 1851–1913. The degree of co-movements between domestic and international inflation depends on geographical remoteness and openness to trade.
Gerlach, Stefan, Stuart, Rebecca
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Liquidity Commonality and Return Co-Movement
SSRN Electronic Journal, 2005Abstract We show that liquidity commonality is due to co-movements in supply and demand induced by cross-sectional correlation in order types (market and limit orders), while return commonality is caused by correlation in order flows (order direction and size).
Ian Domowitz +2 more
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Co-movement of public spending in the G7
Economics Letters, 2010Abstract The size of government in the G7 countries in the last fifty years follows a common pattern (see the left panel of Fig. 1 below): it grows in the first three decades, and then turns flat at the beginning of the nineties, for all countries alike.
Albanese, G, MODICA, Salvatore
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SSRN Electronic Journal, 2003
This paper proposes a definition of bivariate and multivariate co-movement and an associated measure that precisely reflects its definition. It is shown that co-movement as defined in this paper is a copula property. We employ a truly multivariate and dynamic analysis and analyze whether co-movements have increased through time, in crisis periods and ...
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This paper proposes a definition of bivariate and multivariate co-movement and an associated measure that precisely reflects its definition. It is shown that co-movement as defined in this paper is a copula property. We employ a truly multivariate and dynamic analysis and analyze whether co-movements have increased through time, in crisis periods and ...
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The excess co‐movement of commodity prices reconsidered
Journal of Applied Econometrics, 1996This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed.
Deb, Partha +2 more
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SSRN Electronic Journal, 2005
I estimate a GARCH-based volatility factor model that incorporates market volatility and information from high-frequency data. I find that index and stock volatility co-move more after the stock becomes part of SP500. This effect is characteristic to higher frequencies (i.e. hourly) and it is beyond what is predicted by an increase in return comovement.
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I estimate a GARCH-based volatility factor model that incorporates market volatility and information from high-frequency data. I find that index and stock volatility co-move more after the stock becomes part of SP500. This effect is characteristic to higher frequencies (i.e. hourly) and it is beyond what is predicted by an increase in return comovement.
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SSRN Electronic Journal, 2013
I introduce a general equilibrium model with active investors and indexers. The presence of indexers causes market segmentation, and the degree of segmentation is linked to the relative wealth of indexers in the economy. Any shock to this relative wealth generates excess comovement by inducing correlated shocks to discount rates of index stocks.
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I introduce a general equilibrium model with active investors and indexers. The presence of indexers causes market segmentation, and the degree of segmentation is linked to the relative wealth of indexers in the economy. Any shock to this relative wealth generates excess comovement by inducing correlated shocks to discount rates of index stocks.
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Multiscale Frequent Co-movement Pattern Mining
2020 IEEE 36th International Conference on Data Engineering (ICDE), 2020Thanks to recent prevalence of location tracking technologies, collecting massive spatiotemporal datasets containing moving object trajectories has become possible, providing an exceptional opportunity to derive interesting insights about the behavior of moving objects such as people, animals, and vehicles.
Shahab Helmi, Farnoush Banaei Kashani
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Asymmetric business cycle co-movements
Applied Economics Letters, 2009We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a var or a vecm (tsay, 1998 tsay, r. S. 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93: 1188–202. [
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