Results 261 to 270 of about 634,953 (304)

Revisiting stock market index correlations

Finance Research Letters, 2009
Abstract Comovement of stock market indices increases during volatile periods, and does not come down when the turmoil settles down. This paper explains formation of persistent comovements during high volatility periods with theories from Bayesian learning. My main conclusion is that the correlation that is formed during the high volatility period is
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Modeling stock market indexes with copula functions [PDF]

e-Finanse, 2011
Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models for non-normal multivariate distributions provide new tools
Jacek Leskow, Justyna Mokrzycka, Krzysztof Krawiec   +2 more
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Stock Futures of a Flawed Market Index

Asia-Pacific Financial Markets, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Stock index pegging and extreme markets

International Review of Financial Analysis, 2019
Abstract In this paper, we design a multi-agent model to explore endogenous mechanisms that create extremes in stock markets. This study will show that when making trading decisions, if the changing trends of a stock index are taken into consideration, several stylized facts, including synchronized behavior, increased downside correlations and the ...
Xinyue Dong, Rong Ma, Honggang Li
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Market Behavior Around Stock Index Revisions

SSRN Electronic Journal, 2003
The purpose of this paper is to investigate the price and volume reactions around stock index revisions. This study uses CAC40 intraday data in the pre and post index revision periods comprised between 1992 and 2001. The impact of index additions or deletions can be interesting from a theoretical as well as from a practical viewpoint.
Meriam Boussema, Sandrine Lardic
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The Index cohesive effect on stock market correlations

The European Physical Journal B, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shapira, Y., Kenett, D. Y., Ben-Jacob, E.   +2 more
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Stock market volatility and the information content of stock index options

Journal of Econometrics, 1992
Abstract Previous studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Auto regressive Conditional ...
Theodore E Day, Craig M Lewis
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Stock and Index Derivatives and Markets

SSRN Electronic Journal, 2014
Stock options have been traded in the United States from the late 1700s, and they are based on underlying common stock issues. Options and futures on corporate securities can be evaluated using the firm’s common stock price and its volatility rate because this exercise takes in consideration only one type of uncertainty: the firm’s value.
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Stock Market Index Tracking

2009 International Conference on Management and Service Science, 2009
Liang-Chuan Wu, Liang-Hong Wu
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Do Earthquakes Affect Stock Market Index?

2020
Çevresel zorluklar deprem gibi doğal afetlerle önemli ölçüde bağlantılı olmakla birlikte, finansal piyasalarda neden olduğu sonuçlar neredeyse göz ardı edilmektedir.Doğal afetler ile finansal piyasalar arasındaki ilişki yatırımcılar ve piyasalar için önemli bir durumdur.
YILDIRIM, Hakan, ALOLA, Andrew
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