Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory

2004 ◽  
pp. 64-69
Author(s):  
Tetsuo Abel
Keyword(s):  
Phase Transition ◽  
Stock Market ◽  
Transition Theory ◽  
Preliminary Study ◽  
Daily Returns

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

scholarly journals A Preliminary Study of the Emerging and Developing Stock Market of China

2014 ◽  
Vol 2 (1) ◽  
pp. 100
Author(s):  
Hai Long
Keyword(s):  
Stock Market ◽  
Foreign Currency ◽  
Chinese Stock Market ◽  
Significant Development ◽  
Listed Firms ◽  
Ipo Performance ◽  
Growth Enterprise Market ◽  
New Findings ◽  
Ipo Pricing ◽  
Preliminary Study

<p><em>The Chinese share market as an emerging and fast-growing listing venue has experienced a significant development since 2000.Prior studies on this market overwhelmingly concentrate on IPO-pricing-related and post-IPO performance-based propositions with lagging data. Adopting the updated data within the last couple of years, this paper comprehensively explores and accounts for some striking features of the Chinese stock market, and unfolds</em><em> </em><em>some new causes contributing to these characteristics.</em></p> <p><em>Some new findings are revealed. 1)</em><em> </em><em>Two new factors may lead to the extreme under</em><em> </em><em>pricing in China’s</em><em> </em><em>market, which are</em><em> </em><em>the unseasoned investor</em><em> </em><em>sand their high demands of IPO shares. 2)</em><em> </em><em>The foreign-currency trading platform is not effective and efficient to attract the overseas investors.</em><em> </em><em>3)</em><em> </em><em>The imbalanced industry structure of the listed firms is very significant, the Chinese share market is dominated by the manufacturing firms.4)</em><em> </em><em>The Growth Enterprise Market of China is essential to address the long-standing financing difficulties for the Chinese Small and Medium-sized Enterprises, which are unqualified to raise capital from the Primary Stock Market.</em></p>

Dynamic Models for Magnetorheological Dampers and its Feedback Linearization

2009 ◽  
Vol 79-82 ◽  
pp. 1205-1208 ◽  
Author(s):  
Cheng Zhang ◽  
Lin Xiang Wang
Keyword(s):  
Differential Equation ◽  
Phase Transition ◽  
Ordinary Differential Equation ◽  
Feedback Linearization ◽  
Dynamic Models ◽  
Nonlinear Ordinary Differential Equation ◽  
Transition Theory ◽  
Magnetorheological Dampers ◽  
Differential Model ◽  
Mr Dampers

In the current paper, the hysteretic dynamics of magnetorheological dampers is modeled by a differential model. The differential model is constructed on the basis of a phenomenological phase transition theory. The model is expressed as a second order nonlinear ordinary differential equation with bifurcations embedded in. Due to the differential nature of the model, the hysteretic dynamics of the MR dampers can be linearized and controlled by introducing a feedback linearization strategy.

The Skewness of the Stock Market over Long Horizons

2020 ◽  
Author(s):  
Anthony Neuberger ◽  
Richard Payne
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Index ◽  
Leverage Effect ◽  
Higher Moments ◽  
Data Generating Process ◽  
Short Horizon ◽  
Stock Index Returns ◽  
Standard Techniques ◽  
Daily Returns

Abstract Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns. We provide similar results for kurtosis. An application to U.S. stock index returns shows that skew is large and negative and attenuates only slowly as one moves from monthly to multiyear horizons.

scholarly journals A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices

2020 ◽  
Vol 12 (9) ◽  
pp. 3558
Author(s):  
Leonardo Badea ◽  
Daniel Ştefan Armeanu ◽  
Dan Costin Nițescu ◽  
Valentin Murgu ◽  
Iulian Panait ◽  
...  
Keyword(s):  
Stock Market ◽  
Gender Equality ◽  
Market Performance ◽  
Financial Sector ◽  
Markov Switching Model ◽  
Vector Autoregressive ◽  
Stock Market Performance ◽  
Egarch Model ◽  
High Level ◽  
Daily Returns

This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 2020, with a sample of 11 indices and 834 daily observations, and using several different statistical and econometric methods. Our results show a high level of dynamic conditional correlation of daily returns among the gender equality and the overall indices. We also found comparable levels of conditional volatility (resulting from an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH)model) and an elevated degree of synchronization of the volatility regimes (identified by a Markov switching model). Calibrating simple linear quantile regressions, we found that the value of the slope coefficients of the hypothetical linear relationship between the gender equality indices and the overall market indices are close to one, and relatively stable in relation with the value of the quantile. Using separate Vector Autoregressive (VAR) models for the cross-sectoral indices and for the financial sector indices, we found only very little evidence of causality and spill-over effects. Based on these results, we argue that the daily returns of the gender equality indices exhibited very similar characteristics with the daily returns of the overall market indices. In our interpretation, this could mean that, limited to our sample and methods of investigation, there were not significant differences in the investors’ preferences towards the equity issued by public companies committed to supporting gender equality, in comparison with their approach towards listed equity in general. It could also mean that investors do not yet anticipate the significantly different financial performance of listed companies stemming from their approach towards gender equality.

Coil-bridge transition in a single polymer chain as an unconventional phase transition: Theory and simulation

2014 ◽  
Vol 140 (20) ◽  
pp. 204908 ◽  
Author(s):  
Leonid I. Klushin ◽  
Alexander M. Skvortsov ◽  
Alexey A. Polotsky ◽  
Hsiao-Ping Hsu ◽  
Kurt Binder
Keyword(s):  
Phase Transition ◽  
Polymer Chain ◽  
Transition Theory ◽  
Single Polymer Chain

Jump Risk and Heteroscedasticity of KOSPI200 Intra-day Returns

2015 ◽  
Vol 23 (2) ◽  
pp. 243-264
Author(s):  
Min-Goo Hong ◽  
Kook-Hyun Chang
Keyword(s):  
Stock Market ◽  
Estimation Result ◽  
Sample Period ◽  
Jump Risk ◽  
Daily Return ◽  
Korean Stock Market ◽  
To Come ◽  
Daily Returns

This study examines whether KOSPI200 intra-day return has jump risk and heteroscedasticity and we compare the estimation result of intra-day return and that of daily return. The sample covers from January 2, 2004 to July 31, 2014. We use 30-minute intervals for measuring KOSPI200 intra-day return. It seems this study finds the importance of the consideration of the intra-day data in Korean Stock Market. While some of the parameters of the daily returns for the jump are not significant, but those of intra-day returns are significant over the sample period. Also, the intra-day volatility has shown U-shaped or reverse J-shaped curve. In particular the pattern of intra-day volatility seems to come from the jump risk, which is interpreted as the information inflow in the market.

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