Results 11 to 20 of about 1,500,223 (351)
Trusting the stock market [PDF]
SSRN Electronic Journal, 2005 We provide a new explanation to the limited stock market participation puzzle. In deciding whether to buy stocks, investors factor in the risk of being cheated.
Guiso, Luigi +2 more
core +9 more sources
The market efficiency in the stock markets [PDF]
The European Physical Journal B 61 (2) 241-246 (2008), 2007 We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI).
Taisei Kaizoji +4 more
arxiv +6 more sources
Stock Market and No‐Dividend Stocks [PDF]
The Journal of Finance, 2021 ABSTRACTWe develop a stationary model of the aggregate stock market featuring both dividend‐paying and no‐dividend stocks within a familiar, parsimonious consumption‐based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption‐based asset ...
Atmaz, A, Basak, S
openaire +1 more source
On the Autocorrelation of the Stock Market* [PDF]
Journal of Financial Econometrics, 2021 Abstract I introduce an index of market return autocorrelation based on the prices of index options and of forward-start index options and implement it at a six-month horizon. The results suggest that the autocorrelation of the S&P 500 index was close to zero before the subprime crisis but was negative in its aftermath, attaining ...
openaire +2 more sources
Stock Market Reforms and Stock Market Performance
International Journal of Financial Research, 2021 This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different.
Karthigai Prakasam Chellaswamy +2 more
openaire +3 more sources
Is the Stock Market Overvalued? [PDF]
Quarterly Review, 2000 The value of U.S. corporate equity in the first half of 2000 was close to 1.8 times U.S. gross national product (GNP). Some stockmarket analysts have argued that the market is overvalued at this level. We use a growth model with an explicit corporate sector and find that the market is correctly valued.
Ellen R. McGrattan, Edward C. Prescott
openaire +4 more sources
Stock market cycles and stock market development in Spain [PDF]
Spanish Economic Review, 2004 In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK).
Javier Gómez Biscarri +1 more
openaire +2 more sources
The Russia-Ukraine War and Eastern European Stock Markets
Eurasian Journal of Business and Economics, 2023 We examine the causal relationships and extreme return co-movements between the Russian stock market and adjacent Eastern European (EE) stock markets before and after the recent Russia-Ukraine war.
Chung BAEK
doaj +1 more source
The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility
Discrete Dynamics in Nature and Society, 2020 Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market.
Gang He, Shuzhen Zhu, Haifeng Gu
doaj +1 more source
Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [PDF]
, 2013 We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.
Antonakakis, N. +2 more
core +1 more source