scholarly journals Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices

2019 ◽  
pp. 194-202
Author(s):  
Takayuki Mizuno ◽  
Takaaki Ohnishi ◽  
Tsutomu Watanabe
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Cross Sectional ◽  
Stock Market Bubbles ◽  
The Cross

Stock Market Bubbles? A Reply

1995 ◽  
Vol 55 (3) ◽  
pp. 655-665 ◽  
Author(s):  
Eugene N. White
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Prices ◽  
Mean Reversion ◽  
Efficient Markets ◽  
Excess Volatility ◽  
Stock Market Bubbles ◽  
The Mean ◽  
Predictable Returns

Research in finance is guided by powerful intuitions from models of efficient markets. However, researchers have uncovered a number of puzzles that are not explained by these models. Such anomalies include the excess volatility of stock prices, the closed-end mutual fund paradox, and the mean reversion in stock prices that produces predictable returns for long holding periods.1 Whereas financial economists all recognize the existence of these puzzles, they disagree about how they can be explained. Robert J. Shiller argues, for example, that efficient-markets models cannot hope to explain these anomalies and looks to alternatives that incorporate fads.2 In contrast, John H. Cochrane believes that the puzzles can be explained by improved models of fundamentals.3

Can Derivative Information Predict Stock Price Jumps?

2015 ◽  
Vol 31 (3) ◽  
pp. 845
Author(s):  
Noe-Keol Kwark ◽  
Hyoung-Goo Kang ◽  
Sang-Gyung Jun
Keyword(s):  
Standard Deviation ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Implied Volatility ◽  
Stock Index ◽  
Rates Of Return ◽  
Cross Sectional ◽  
Put Options ◽  
The Cross

<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>

scholarly journals VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

2014 ◽  
Vol 15 (3) ◽  
pp. 441-459 ◽  
Author(s):  
Dar-Hsin Chen ◽  
Chun-Da Chen ◽  
Su-Chen Wu
Keyword(s):  
At Risk ◽  
Risk Factor ◽  
Stock Market ◽  
Stock Returns ◽  
Value At Risk ◽  
Emerging Market ◽  
Explanatory Power ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market – Taiwan's stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.

The Profitability of the Moving Average Strategy in the French Stock Market

2014 ◽  
pp. 21-38 ◽  
Author(s):  
Hung T. Nguyen ◽  
Hang V. D. Pham ◽  
Nguyen Hung
Keyword(s):  
Stock Market ◽  
Transaction Costs ◽  
Strong Evidence ◽  
Abnormal Return ◽  
Moving Average ◽  
Risk Exposure ◽  
Cross Sectional ◽  
The Cross ◽  
Better Than

This paper studies the cross-sectional profitability of moving average timing portfolios in the French stock market over the period from January 1, 1995 to December 31, 2012. The results provide strong evidence that the moving average timing outperforms the buy-and-hold strategy with higher returns and less risk exposure. On average, moving average portfolios generate an abnormal return of 3.72% per annum and always perform better than buy-and-hold benchmark portfolios across different lag length and volatility portfolios. Moreover, our results prevail after we control for transaction costs. Keywords:Technical analysis, moving average, cross-sectional profit

Conditional multifactor asset pricing model and market anomalies

2013 ◽  
Vol 5 (4) ◽  
pp. 271-294 ◽  
Author(s):  
Saumya Ranjan Dash ◽  
Jitendra Mahakud
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Investment Strategy ◽  
Momentum Effect ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Content Type ◽  
Short Run ◽  
The Cross ◽  
Indian Stock Market

Purpose – The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making the firm-specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications. Design/methodology/approach – The paper employs first step time series regression approach to drive the risk-adjusted return of individual firms. For examining the predictability of firm characteristics on the risk-adjusted return, the panel data estimation technique has been used. Findings – There is a weak anomaly effect in the Indian stock market. The choice of a five-factor model (FFM) in its unconditional and conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size, market leverage and short-run momentum effect are found to be persistent in the Indian stock market even with the alternative conditional specifications of the FFM. The results also suggest that it is naï argue for disappearing size effect in the cross-sectional regularity. Research limitations/implications – Constrained upon the data availability, certain market anomalies and conditioning variables cannot be included in the analysis. Practical implications – Considering the practitioners' prospective, the results indicate that the profitable investment strategy with respect to the small size effect is still persistent and warrants close-ended mutual fund investment portfolio strategy for enhancing the long-term profitability. The short-run momentum effect can generate potential profits given a short-term investment horizon. Originality/value – This paper provides the first-ever empirical evidence from an emerging stock market towards the use of alternative conditional multifactor models for the complete explanation of market anomalies. In an attempt to analyze the anomaly effect in the Indian stock market, this paper provides further evidence towards the long-short hedge portfolio return variations in terms of a wide set of market anomalies that have been documented in prior literature.

Cross-herding behavior between the stock market and the crude oil market during financial distress

2018 ◽  
Vol 44 (4) ◽  
pp. 439-458 ◽  
Author(s):  
Houda BenMabrouk
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Content Type ◽  
Oil Market ◽  
The Cross

Purpose The purpose of this paper is to investigate herding behavior around the crude oil market and the stock market and the possible cross-herding behavior between the two markets. The analysis examines also the herding behavior during financial turmoil and includes the investor sentiment and market volatility. Design/methodology/approach The authors use a modified version of the cross-sectional standard deviation and the cross-sectional absolute deviation to include investor sentiment, financial crisis and market volatility. Findings The authors find that the volatility of the stock market reduces the herding behavior around the oil market and boosts that around the stock market. However, the investors’ sentiment reduces the herding around the stock market and boosts that around the crude oil market. Consequently, the authors can conclude that the herding behavior around the two markets moves inversely and the herding in each market is enhanced by the lack of information in the other market. Research limitations/implications This paper is limited to the herding of stocks around the crude oil market and ignores the possible herding of commodities around the oil market. Originality/value The originality of the paper rests on the study of the possible cross-herding behavior between the oil market and the stock market especially during financial turmoil.

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