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Author: Robert Alan Weigand
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Robert Alan Weigand
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Mr.Charles Frederick Kramer
Publisher: International Monetary Fund
ISBN: 1451854870
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
Author: G.P. Dwyer
Publisher: Springer Science & Business Media
ISBN: 9401578818
Category : Business & Economics
Languages : en
Pages : 206
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Book Description
Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.
Author: Shigeyuki Hamori
Publisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
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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.
Author: David G. McMillan
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 9
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Author: Alok Kumar
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Using weekly data from the Indian stock markets, the relationship between stock price and trading volume at an aggregated market level are examined using a Markov Switching-Vector Error Correction Model (MS-VECM), where deviations from the long run equilibrium are characterized by different rates of adjustment depending on the state of a hidden Markov chain. The long run dynamics are characterized by one co integrating vector relating the price to trading volume. We find stock price is weakly exogenous. The MS-VECM with two regimes provides a good characterization of the Indian stock market and performs well relative to other linear and nonlinear models. The two regimes are well identified as the first regime of high volatility and the second regime of modest volatility. The regime with high volatility is found to be associated with important local and international events (social, economic, amp; political) affecting the Indian Stock market.
Author: Samuel Karlin
Publisher: Academic Press
ISBN: 1483268039
Category : Business & Economics
Languages : en
Pages : 591
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Book Description
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Author: Antoine Giannetti
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
Stock price ratios have long been used by finance practitioners as a relative value metric. A popular argument for this widespread use is that stock price ratios would tend to revert to their long-run mean so that substantial deviations from historical averages could successfully be arbitraged away. In this work, we lay out the theoretical conditions for the ratio of stock prices to be a trend stationary process. In particular, we establish that, in the context of our model, market completeness entails stationary price ratios. We also theoretically relate statistical price ratio stationarity to economic mean reversion in profitability (as measured by dividends or earnings price ratios) across securities. We further test our theoretical predictions using standard unit root tests and cointegration analysis on a popular example of quot;closequot; stocks. To illustrate the implications of the theoretical work, we provide a simple empirical exercise where we analyze the time series behavior of the Coca Cola and Pepsi stock price ratio. These two stocks provide us with a straightforward example of relative pricing between close substitutes. Our results have important implications for practitioners who seek to apply pairs-trading investment strategies in the stock market as they gives clear economic intuition to this popular practice. Indeed, as long as theoretical requirements are met, an investment strategy that exploits short-term quot;errorquot; deviations of stock prices of close firms apart from their long run (cointegrated) relation, e.g., matching stocks by minimizing the sum of squared deviations between normalized stock prices as in Gatev, Goetzmann, and Rouwenhorst (2006) should produce significant risk-adjusted returns.
Author: Adam Farago
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
We study the theoretical implications of cointegrated stock prices on the profitability of pairs trading strategies. If stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that the theoretical Sharpe ratios are "too large," this suggests that either (i) cointegration does not exist pairwise among stocks, and pairs trading profits are a result of a weaker or less stable dependency structure among stock pairs, or (ii) the serial correlation in stock returns stretches over considerably longer horizons than is usually assumed. Empirically, there is little evidence of cointegration, favoring the first explanation.
Author: John Y. Campbell
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 30
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Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
