Short-Run Behavior of Stock Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Short-Run Behavior of Stock Returns PDF full book. Access full book title Short-Run Behavior of Stock Returns by Zaäfri A. Husodo. Download full books in PDF and EPUB format.
Author: Zaäfri A. Husodo
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
Get Book Here
Book Description
This study examines the price formation process, noise level, non-trading and component of bid-ask spreads of individual shares listed on the Jakarta Stock Exchange for the period from 2000 to 2004. The price formation process is estimated using speed of adjustment based on the simple partial adjustment method proposed by Amihud and Mendelson (1987) that was later extended into ARMA(1,1) estimation by Theobald and Yallup (2004). The results are consistent with studies for the U.S. and European markets that find short term underreaction in security returns for most stocks. We further find that large companies lead small companies in price adjustment to new information. Using the intervalling properties to approximate the time to adjustment, we find that large stocks need only one day to fully adjust to new information, while medium and small stocks need three and five days respectively. The predominant factor contributing to the speed for adjustment for stocks listed on the Jakarta Stock Exchange in the ARMA(1,1) model is the MA(1) component reflecting significant noise in the price formation process. We assume that noise contains two microstructure components, non-trading and bid-ask bounce. This study finds that the role of non-trading is too small to be reliably justified as the source of negative autocorrelation, resulting in overreaction to the speed of adjustment. Further evidence revealed that the role of bid-ask spread is significant in determining the sign of the autocorrelation coefficient. The decomposition of bid-ask spreads disclosed that the size of the adverse selection spread cost component is negatively correlated with the speed of adjustment.
Author: Zaäfri A. Husodo
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
Get Book Here
Book Description
This study examines the price formation process, noise level, non-trading and component of bid-ask spreads of individual shares listed on the Jakarta Stock Exchange for the period from 2000 to 2004. The price formation process is estimated using speed of adjustment based on the simple partial adjustment method proposed by Amihud and Mendelson (1987) that was later extended into ARMA(1,1) estimation by Theobald and Yallup (2004). The results are consistent with studies for the U.S. and European markets that find short term underreaction in security returns for most stocks. We further find that large companies lead small companies in price adjustment to new information. Using the intervalling properties to approximate the time to adjustment, we find that large stocks need only one day to fully adjust to new information, while medium and small stocks need three and five days respectively. The predominant factor contributing to the speed for adjustment for stocks listed on the Jakarta Stock Exchange in the ARMA(1,1) model is the MA(1) component reflecting significant noise in the price formation process. We assume that noise contains two microstructure components, non-trading and bid-ask bounce. This study finds that the role of non-trading is too small to be reliably justified as the source of negative autocorrelation, resulting in overreaction to the speed of adjustment. Further evidence revealed that the role of bid-ask spread is significant in determining the sign of the autocorrelation coefficient. The decomposition of bid-ask spreads disclosed that the size of the adverse selection spread cost component is negatively correlated with the speed of adjustment.
Author: Jean-Pierre Danthine
Publisher: Elsevier
ISBN: 0080509029
Category : Business & Economics
Languages : en
Pages : 391
Get Book Here
Book Description
The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467. The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. "This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts.... many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts Focuses on clear explanations of key concepts and requires limited mathematical prerequisites Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor
Author: Halbert White
Publisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Get Book Here
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: John Y. Campbell
Publisher: Princeton University Press
ISBN: 1400830214
Category : Business & Economics
Languages : en
Pages : 630
Get Book Here
Book Description
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Author: Falkmar Butgereit
Publisher: diplom.de
ISBN: 3836632187
Category : Business & Economics
Languages : en
Pages : 121
Get Book Here
Book Description
Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]
Author: Burton G. Malkiel
Publisher: W. W. Norton & Company
ISBN: 0393330338
Category : Business & Economics
Languages : en
Pages : 454
Get Book Here
Book Description
Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.
Author: Thomas W. Sampson
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security. The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used to increase forecasting accuracy and may proved a means by which the Efficient Markets Hypothesis can be refuted.
Author: Andrew Wen-Chuan Lo
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 68
Get Book Here
Book Description
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several different time periods. Contrary to previous findings, there is no evidence of long-range dependence in any of the indexes over any sample period or sub-period once short-term autocorrelations are taken into account. Illustrative Monte Carlo experiments indicate that the modified R/S test has power against at least two specific models of long-run memory, suggesting that stochastic models of short-range dependence may adequately capture the time series behavior of stock returns
Author: Sosi Zepür Vartanesyan
Publisher:
ISBN:
Category : Copper
Languages : en
Pages : 110
Get Book Here
Book Description
Author: Larry Connors
Publisher: John Wiley & Sons
ISBN: 1118239458
Category : Business & Economics
Languages : en
Pages : 198
Get Book Here
Book Description
For years, traders and investors have been using unproven assumptions about popular patterns such as breakouts, momentum, new highs, new lows, market breadth, put/call ratios and more without knowing if there is a statistical edge. Common wisdom holds that the stock markets are ever changing. But, as it turns out, common wisdom can be wrong. Offering a comprehensive look back at the way the markets have acted over the last two decades, How Markets Really Work: A Quantitative Guide to Stock Market Behavior, Second Edition shows that nothing has changed, that the markets behave the same way today as they have in years past, and that understanding this puts you in a prime position to profit. Written by two top financial experts and filled with charts and graphs that illustrate the market concepts they develop, the book takes a sometimes contrarian view of everything from market edges to historical volatility, and from volume to put/call ratio, giving you all that you need to truly understand how the markets function. Fully revised and updated, How Markets Really Work, Second Edition takes a level-headed, data-driven look at the markets to show how they function and how you can apply that information intelligently when making investment decisions.
