scholarly journals Evaluating the Nonlinear Linkage between Gold Prices and Stock Market Index Using Markov-Switching Bayesian VAR Models

2015 ◽  
Vol 210 ◽  
pp. 408-415 ◽  
Author(s):  
Işıl Akgül ◽  
Melike Bildirici ◽  
Selin Özdemir
Keyword(s):  
Stock Market ◽  
Markov Switching ◽  
Var Models ◽  
Stock Market Index ◽  
Bayesian Var ◽  
Market Index

scholarly journals A influência da pandemia COVID-19 na volatilidade dos índices de mercado de ações (Ibovespa): Aplicação do modelo Markov Switching Autoregressivo / The influence of the COVID-19 pandemic on the volatility of stock market index (Ibovespa): Application of the Markov Switching Autoregressive model

2021 ◽  
Vol 3 (3) ◽  
pp. 2445-2458
Author(s):  
Carlos Alberto Gonçalves Da Silva
Keyword(s):  
Stock Market ◽  
Autoregressive Model ◽  
Markov Switching ◽  
Stock Market Index ◽  
Market Index ◽  
Lehman Brothers

O presente artigo utiliza o modelo Markov Switching Autoregressivo de dois estados desenvolvido por Hamilton (1989), para capturar mudanças de regime tanto na média quanto na variância dos retornos mensais do índice de mercado de ações (Ibovespa) entre janeiro de 2000 e março de 2021. Na matriz de transação e persistência dos regimes, verifica-se que o regime 1 (baixa volatilidade) é mais persistente, ou seja, a probabilidade de permanecer neste regime em período posterior é de 96,49% e no regime 2 (alta volatilidade) a probabilidade de continuar neste regime no período t+1 corresponde a 48,55%. Os resultados obtidos do modelo MS(2)-AR(1) detectaram  momento das mudanças de regimes dos retornos, por causa do atentado terrorista de 11/09/2001, do momento de transição da política brasileira (vitória de Lula na eleição presidencial 2002), crises financeiras 2008 (falência do banco de investimentos dos EUA, o Lehman Brothers) e a pandemia COVID-19 (2020/2021).

scholarly journals A Markov Switching Vector Error Correction Model on Oil Price and Gold Price Effect on Stock Market Returns

2013 ◽  
Vol 5 (7) ◽  
pp. 331-336
Author(s):  
Seuk Wai Phoong ◽  
Siok Kun Sek .
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Markov Switching ◽  
Oil Price ◽  
Vector Error Correction Model ◽  
Stock Market Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Market Index ◽  
Vector Error

Stock market index represent a country growth and always as an interest for economist and statisticians. In this paper, the effect of oil price and gold price on stock market index on Malaysia, Singapore, Thailand and Indonesia are investigated and a two-regime Markov Switching Vector Error Correction model is used to examine the nonlinear properties model. Moreover, a two regime mean adjusted Markov Switching Vector Error Correction model is used in the study to capture the filtered and smoothed probabilities of the time series sequence in the economic model. Results found that the oil price and gold price affect the movement of the Malaysia, Singapore, Thailand and Indonesia stock market index and there is an asymmetric cycle since 97% of the total sample size is recorded in the growth state.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

scholarly journals Investors’ Reactions to CSR News in Family Versus Nonfamily Firms: A Study on Signal (In)credibility

2021 ◽  
pp. 104225872110104
Author(s):  
Naciye Sekerci ◽  
Jamil Jaballah ◽  
Marc van Essen ◽  
Nadine Kammerlander
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Family Firms ◽  
Signaling Theory ◽  
Family Firm ◽  
Stock Market Index ◽  
Important Condition ◽  
Post Hoc Analysis ◽  
Market Index ◽  
Post Hoc

We study family firm status as an important condition in signaling theory; specifically, we propose that the market reacts more positively to positive, and more negatively to negative, CSR news (i.e., signals) from family firms than to similar news from nonfamily firms. Moreover, we propose that during recessions, the direction of these relationships reverses. Based on an event study of 1247 positive and negative changes in the CSR ratings for all firms listed on the French SFB120 stock market index (2003-2013), we find support for our hypotheses. Moreover, a post hoc analysis reveals that the relationships are contingent on whether a family CEO leads the firm.

Linkages between cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles

2016 ◽  
Vol 9 (2) ◽  
pp. 123-146 ◽  
Author(s):  
Kim Hiang Liow
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Business Cycles ◽  
Spillover Effects ◽  
Real Estate Market ◽  
Stock Market Index ◽  
Content Type ◽  
Market Index ◽  
Cross Country ◽  
The Cross

Purpose This research aims to investigate whether and to what extent the co-movements of cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles are linked across G7 from February 1990 to June 2014. Design/methodology/approach The empirical approaches include correlation analysis on Hodrick–Prescott (HP) cycles, HP cycle return spillovers effects using Diebold and Yilmaz’s (2012) spillover index methodology, as well as Croux et al.’s (2001) dynamic correlation and cohesion methodology. Findings There are fairly strong cycle-return spillover effects between the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles. The interactions among the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles in G7 are less positively pronounced or exhibit counter-cyclical behavior at the traditional business cycle (medium-term) frequency band when “pure” stock market cycles are considered. Research limitations/implications The research is subject to the usual limitations concerning empirical research. Practical implications This study finds that real estate is an important factor in influencing the degree and behavior of the relationship between cross-country business cycles and cross-country stock market cycles in G7. It provides important empirical insights for portfolio investors to understand and forecast the differential benefits and pitfalls of portfolio diversification in the long-, medium- and short-cycle horizons, as well as for research studying the linkages between the real economy and financial sectors. Originality/value In adding to the existing body of knowledge concerning economic globalization and financial market interdependence, this study evaluates the linkages between business cycles, stock market cycles and public real estate market cycles cross G7 and adds to the academic real estate literature. Because public real estate market is a subset of stock market, our approach is to use an original stock market index, as well as a “pure” stock market index (with the influence of real estate market removed) to offer additional empirical insights from two key complementary perspectives.

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