scholarly journals A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy

2021 ◽  
Author(s):  
Jens J. Krüger
Keyword(s):  
Business Cycle ◽  
German Economy ◽  
Leading Indicators ◽  
Market Returns ◽  
Stock Market Returns ◽  
Frequency Space ◽  
Time Frequency ◽  
Term Spread ◽  
Estimation Uncertainty ◽  
The Interest Rate

AbstractLeading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty.

The Dividend Term Structure

2019 ◽  
Vol 55 (3) ◽  
pp. 829-867 ◽  
Author(s):  
Jac Kragt ◽  
Frank de Jong ◽  
Joost Driessen
Keyword(s):  
Business Cycle ◽  
Term Structure ◽  
Factor Model ◽  
Market Returns ◽  
Short Term ◽  
Latent Factors ◽  
Stock Market Returns ◽  
Financial Variables ◽  
Limited Degree ◽  
The Business Cycle

We estimate a model for the term structure of discounted risk-adjusted dividend growth using prices of dividend futures for the Eurostoxx 50. A 2-factor model capturing short-term mean reversion within a year and a medium-term component reverting at the business-cycle horizon gives an excellent fit of these prices. Hence, investors update the valuation of dividends beyond the business cycle only to a limited degree. The 2-factor model, estimated on dividend futures data only, explains a large part of observed daily stock market returns. We also show that the 2 latent factors are related to various economic and financial variables.

scholarly journals Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns

2011 ◽  
Vol 31 (1) ◽  
pp. 1-14 ◽  
Author(s):  
Horst Entorf ◽  
Anne Gross ◽  
Christian Steiner
Keyword(s):  
Stock Market ◽  
Business Cycle ◽  
High Frequency ◽  
Market Returns ◽  
Stock Market Returns

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

Causal Relationships and Short-Term Dynamics Between Oil Price and Stock Market Returns in Malaysia

2020 ◽  
Vol 24 (02) ◽  
pp. 1184-1204
Author(s):  
Arif Rasheed ◽  
Mitra Saeedi ◽  
Nalini Gebril ◽  
Kumaraseh Hariraj
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Causal Relationships ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns
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