scholarly journals Temporal Multi-layer Network Construction from Major News Events

2016 ◽  
pp. 29-41 ◽  
Author(s):  
Borut Sluban ◽  
Miha Grčar ◽  
Igor Mozetič
Keyword(s):  
Network Construction ◽  
News Events

Prior Return Effect in Indian Stock Market: An Intra-day Analysis

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Vanita Tripathi ◽  
Shalini Aggarwal
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
High Frequency ◽  
Good News ◽  
High Frequency Data ◽  
Short Term ◽  
Fund Managers ◽  
News Events ◽  
Return Effect ◽  
Indian Stock Market

In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well as price falls. However the speed with which the correction takes place is slightly different for good news events and bad news events. Indian investors tend to be optimistic as they immediately bring stock prices up following unjustified price falls but take time to bring stock prices down following unjustified price rises. These findings lend a further support to short-term overreaction literature. More importantly, these findings serve as a proof of predictability of the direction of future stock prices and consequent returns on an intra-day basis. It forwards important investment implications for traders, fund managers, and investors at large.

scholarly journals Joint adjustment by CPIII precision trigonometric elevation control network assisted with precision levelling observation

2020 ◽  
Vol 165 ◽  
pp. 03005
Author(s):  
Li Jianzhang
Keyword(s):  
Variance Estimation ◽  
Estimation Method ◽  
Parameter Method ◽  
Control Network ◽  
Network Construction

Using the precision trigonometric elevation instead of the precision levelling to build a CPⅢ elevation control network will greatly increase the speed of CPⅢ control network construction. However, the accuracy of CPIII precision trigonometric elevation control network is still difficult to reach the level of CPⅢ precision levelling network. Based on the existing parameter method, this paper introduces some precision levelling for joint adjustment, and uses Helmert’s variance estimation method to perform strict weight determination. Our experiments show that when the number of precision levelling participating in the joint adjustment exceeds 1/3 of the total number of CPⅢ precision levelling network observations, the accuracy of the CPIII precision trigonometric elevation control network can be effectively improved.

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

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