Author: Robert Jung
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986, 1987) the daily price changes and the corresponding trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events serving as the mixing variable. Using German stock market data of 15 major companies the distributional properties of the BMH is tested employing maximum-likelihood as well as generalized method of moments estimation techniques. In addition to providing a new approach for the pointwise estimation of the latent information arrival rate based on the maximum-likelihood method, we investigate the time-series properties of the BMH. The major results can be summarized as follows: (i) the distributional characteristics of the data (especially leptokurtosis and skewness in the distribution of price changes and volume respectively) cannot be explained satisfactorily by the BMH; univariate mixture models for price changes and trading volume separately reveal a possible specification error in the model; (ii) a univariate normal mixture model can account for the observed distributional characteristics of price changes; (iii) the estimated process of the latent information rate cannot fully explain the time-series characteristics of the data (especially the volatility clustering or ARCH-effects).
Testing the Bivariate Mixture Hypothesis Using German Stock Market Data
Author: Robert Jung
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986, 1987) the daily price changes and the corresponding trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events serving as the mixing variable. Using German stock market data of 15 major companies the distributional properties of the BMH is tested employing maximum-likelihood as well as generalized method of moments estimation techniques. In addition to providing a new approach for the pointwise estimation of the latent information arrival rate based on the maximum-likelihood method, we investigate the time-series properties of the BMH. The major results can be summarized as follows: (i) the distributional characteristics of the data (especially leptokurtosis and skewness in the distribution of price changes and volume respectively) cannot be explained satisfactorily by the BMH; univariate mixture models for price changes and trading volume separately reveal a possible specification error in the model; (ii) a univariate normal mixture model can account for the observed distributional characteristics of price changes; (iii) the estimated process of the latent information rate cannot fully explain the time-series characteristics of the data (especially the volatility clustering or ARCH-effects).
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986, 1987) the daily price changes and the corresponding trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events serving as the mixing variable. Using German stock market data of 15 major companies the distributional properties of the BMH is tested employing maximum-likelihood as well as generalized method of moments estimation techniques. In addition to providing a new approach for the pointwise estimation of the latent information arrival rate based on the maximum-likelihood method, we investigate the time-series properties of the BMH. The major results can be summarized as follows: (i) the distributional characteristics of the data (especially leptokurtosis and skewness in the distribution of price changes and volume respectively) cannot be explained satisfactorily by the BMH; univariate mixture models for price changes and trading volume separately reveal a possible specification error in the model; (ii) a univariate normal mixture model can account for the observed distributional characteristics of price changes; (iii) the estimated process of the latent information rate cannot fully explain the time-series characteristics of the data (especially the volatility clustering or ARCH-effects).
Index of Economic Articles in Journals and Collective Volumes
Author: American Economic Association
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1406
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1406
Book Description
A Test of the Efficient Market Hypothesis Using Istanbuul Stock Exchange Data
Author: Erol Salih Alkan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Index of Economic Articles in Journals and Collective Volumes
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1552
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1552
Book Description
An Empirical Investigation of Stock Markets
Author: Shigeyuki Hamori
Publisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
Book Description
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Publisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
Book Description
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Bibliographie der Staats-und Wirtschaftswissenschaften
Author:
Publisher:
ISBN:
Category : Classification
Languages : en
Pages : 1016
Book Description
Publisher:
ISBN:
Category : Classification
Languages : en
Pages : 1016
Book Description
Empirical tests of the overreaction hypothesis for the German stock market
Author: Detlev Stock
Publisher:
ISBN:
Category :
Languages : de
Pages : 18
Book Description
Publisher:
ISBN:
Category :
Languages : de
Pages : 18
Book Description
Bibliographie der Wirtschaftswissenschaften
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1046
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1046
Book Description
IMF Working Paper
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 700
Book Description
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 700
Book Description
Development Economics Research Trends
Author: Gustavo T. Rocha
Publisher: Nova Publishers
ISBN: 9781604561722
Category : Business & Economics
Languages : en
Pages : 286
Book Description
Development economics is a branch of economics which largely deals with the economic aspects of the development process in developing countries with a focus on methods of promoting economic growth while also dealing "with the economic, social, political and institutional mechanisms, both public and private, necessary to bring about rapid...and large-scale improvements in levels of living for the peoples" living in developing countries. This new book presents the latest research in this growing field.
Publisher: Nova Publishers
ISBN: 9781604561722
Category : Business & Economics
Languages : en
Pages : 286
Book Description
Development economics is a branch of economics which largely deals with the economic aspects of the development process in developing countries with a focus on methods of promoting economic growth while also dealing "with the economic, social, political and institutional mechanisms, both public and private, necessary to bring about rapid...and large-scale improvements in levels of living for the peoples" living in developing countries. This new book presents the latest research in this growing field.