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Resources policy, 2023
In times of financial crisis as well as during the COVID-19 era, gold and crude oil are the two commodities that have the most influence on global stock markets and the real economy.
Fang Liu, Muhammad Umair, Junjun Gao
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In times of financial crisis as well as during the COVID-19 era, gold and crude oil are the two commodities that have the most influence on global stock markets and the real economy.
Fang Liu, Muhammad Umair, Junjun Gao
semanticscholar +1 more source
Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria
The International Journal of Management Science and Business Administration, 2019This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using monthly series data from 1995 – 2014.
Izunobi Anthony Okechukwu +3 more
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The Journal of Portfolio Management, 2000
In this article, the authors develop a two–step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long–run behavior of stock markets, short–run fluctuations are driven by variables that do not enter into the ...
Hélène Harasty, Jacques Roulet
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In this article, the authors develop a two–step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long–run behavior of stock markets, short–run fluctuations are driven by variables that do not enter into the ...
Hélène Harasty, Jacques Roulet
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Stock Market Predictability and Industrial Metal Returns
Management Sciences, 2019Price movements in industrial metals such as copper and aluminum predict stock returns. Increasing industrial metal prices are good news for equity markets in recessions and bad news in expansions.
B. Jacobsen +2 more
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Stock Market Returns and Inflation Forecasts
The Journal of Finance, 1983ABSTRACTThis study uses data from the Livingston survey of expectations to examine the Fisher hypothesis as a model relating expected stock returns and expected inflation. We show that the Fisher hypothesis holds much better for ex ante expectations than ex post realizations.
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The Efficiency of Marketing and Stock Returns
SSRN Electronic Journal, 2018A firm’s marketing efficiency, the ability to optimally deploy and integrate different marketing inputs to achieve high sales revenue at low cost, is persistent. High marketing efficiency predicts better future operating performance and stock returns, especially in competitive industries. A marketing efficiency-based long-short portfolio strategy earns
Tze Chuan Ang +3 more
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Devaluations and Emerging Stock Market Returns
SSRN Electronic Journal, 2002Stock returns over the two years surrounding 24 currency devaluations are examined. Using bootstrapped distributions, returns preceding the devaluation are shown to be significantly below normal, in both dollar and local currency terms. Most of the downturn, however, occurs well before the month of the devaluation.
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Returns of REITS and stock markets
Journal of Property Investment & Finance, 2010PurposeThe purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the aim is to illustrate how copula approaches can be applied to model the complex dependence structure between the assets and for risk measurement of a portfolio containing
Ning Rong, Stefan Trück
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TOWER BUILDING AND STOCK MARKET RETURNS
Journal of Financial Research, 2012AbstractConstruction starts of skyscrapers predict subsequent U.S. stock returns. The predictive ability exceeds that of alternatives such as the prevailing historical mean, predictions based on dividend ratios, and recently suggested combination forecasts.
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The impact of mixed-frequency geopolitical risk on stock market returns
, 2021Jianlei Yang, Chunpeng Yang
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