NOISY HIGH FREQUENCY DATA-BASED ESTIMATION OF VOLATILITY FUNCTION WITH APPLICATIONS

2020 ◽  
pp. 1-24
Author(s):  
JINGUAN LIN ◽  
XUGUO YE ◽  
YANYONG ZHAO ◽  
HONGXIA HAO
Keyword(s):  
Stochastic Dynamics ◽  
Stock Exchange ◽  
Asymptotic Properties ◽  
Microstructure Noise ◽  
Finite Sample ◽  
Microstructure Effects ◽  
Intraday Data ◽  
Volatility Function ◽  
The Impact ◽  
Exchange Data

Diffusion models have been widely used to describe the stochastic dynamics of the underlying economic variables. Renò ( 2008 ) introduced a nonparametric estimator of the volatility function, which is based on the estimation of quadratic variation between observations by means of realized variance. However, they may be misleading when one uses intraday data to implement directly the estimator, because intraday data display microstructure effects that could seriously distort the estimation. To filter out the impact of microstructure noise on the estimation of the volatility function, in this paper we propose an improved estimator when there is microstructure noise in the observed price. Also, we show that the proposed estimator has the same asymptotic properties as the Renò estimator when the step of discretization inclines to zero. Some simulations and empirical applications on Shanghai Stock Exchange data from March 3, 2002 to December 31, 2008 are used to illustrate the finite sample performance of the proposed estimator.

Intraday Variability and Trading Volume: Evidence from National Stock Exchange

2020 ◽  
Vol 19 (3) ◽  
pp. 271-295
Author(s):  
Aravind Sampath ◽  
Arun Kumar Gopalaswamy
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Equity Market ◽  
Indian Market ◽  
Jel Codes ◽  
Tick Data ◽  
High Volatility ◽  
Microstructure Effects ◽  
Opening And Closing ◽  
The Impact

In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market depicting a ‘U’-shaped curve, implying high market activity during these periods. Second, while accounting for trading volume, we observe that volatility is not significantly different between mid-day period and evening period as compared to the normal ‘U’ curve. Finally, we document a significant positive relationship between intraday volume and price movements controlling for microstructure effects. The impact of positive returns on trading volume is higher than the impact of negative returns, implying the presence of return–volume asymmetry in the Indian market. JEL Codes: G12, G15

scholarly journals Analyzing Impact of Social Media Sentiments on Financial Markets

2021 ◽  
Vol 10 (10) ◽  
pp. 113-120
Author(s):  
Poorna Chandra Vemula* ◽  
◽  
Santhosh Reddy Chilaka ◽  
Mullapudi Raghu Vamsi ◽  
Jonnalagadda Praveen Reddy ◽  
...  
Keyword(s):  
Financial Markets ◽  
Recurrent Neural Networks ◽  
Short Term Memory ◽  
Stock Exchange ◽  
Short Term ◽  
Learning Techniques ◽  
Long Short Term Memory ◽  
The Impact ◽  
Gated Recurrent Unit ◽  
Exchange Data

This paper analyzes the impact of continuously changing sentiments on apparently unstable stock exchange. Right when a monetary supporter decides to buy or sell stock, his decision is very much dependent on to rise or fall in price of the stock. In this paper, we look at the possibility of using notion attitudes (good versus negative) and moreover sentiments (delight, feel sorry for, etc) isolated from finance related news or tweets to help predict stock worth turns of events. This examination uses a model-self-ruling approach to manage uncover the mysterious components of stock exchange data using distinctive significant learning techniques like Recurrent Neural Networks (RNN), Long-Short Term Memory (LSTM), and Gated Recurrent Unit (GRU).

Impact of Accounting Data on Stock Prices: The Case of Vietnam

2018 ◽  
Vol 8 (1) ◽  
pp. 140
Author(s):  
Hoang Thi Viet Ha ◽  
Dang Ngoc Hung ◽  
Tran Manh Dung
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Accounting Data ◽  
Book Value ◽  
Listed Firms ◽  
Earnings Per Share ◽  
Accounting Numbers ◽  
The Impact ◽  
The Relationship ◽  
Exchange Data

This research is conducted for evaluating the impact of accounting numbers on stock prices of listed firms on Vietnam Stock Exchange. Data were collected from 416 listed firms for the period from 2012 to 2016. By using models of OLS, FEM, REM and GLS for evaluating the relationship between earnings per share (EPS), book value of stock (BV) and stock prices, the results show that EPS, BV have positive relationships with stock prices with the level of 48.13% basing on the model of Ohlson (1995) and on the model of Ohlson adjusted to Aboody et al. (2002). Based on the findings, some implications for investors and stakeholders have been given in the context of Vietnam.

scholarly journals THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

2021 ◽  
Vol 11 (2) ◽  
Author(s):  
Azzam Khalid Chyad ◽  
Dr. Ayad Taher Aljubori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Scatter Plot ◽  
Market Index ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
Exchange Data

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

scholarly journals The effect of liquidity ratios management on the profitability of industrial companies listed on the Amman Stock Exchange

Accounting ◽  
2021 ◽  
pp. 1131-1138 ◽  
Author(s):  
Mamoun Shakatreh
Keyword(s):  
Stock Exchange ◽  
Financial Statements ◽  
Liquidity Management ◽  
Industrial Companies ◽  
Amman Stock Exchange ◽  
The Impact ◽  
Exchange Data

The present study aimed at investigating the impact of liquidity management on profitability in the industrial companies listed on Amman Stock Exchange. Data was obtained from the financial statements of several industrial companies that were listed on Amman Stock Exchange during the period (2010-2018). The data was analyzed through using the SPSS program. The researcher analyzed several financial statements to collect data about liquidity and profitability. It was found that liquidity management affects profitability in the targeted companies.

scholarly journals ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES

2017 ◽  
Vol 34 (3) ◽  
pp. 598-627 ◽  
Author(s):  
Alessio Sancetta
Keyword(s):  
Linear Combination ◽  
Point Processes ◽  
Estimation Error ◽  
Asymptotic Properties ◽  
Additive Model ◽  
Rates Of Convergence ◽  
Finite Sample ◽  
Intensity Measure ◽  
Variable Screening ◽  
The Impact

Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of jumps. Only a single trajectory of the counting process is observed. Interest lies in estimating the intensity conditional on the covariates. The impact of the covariates is modelled by an additive model where each component can be written as a linear combination of possibly unknown functions. The focus is on prediction as opposed to variable screening. Conditions are imposed on the coefficients of this linear combination in order to control the estimation error. The rates of convergence are optimal when the number of active covariates is large. As an application, the intensity of the buy and sell trades of the New Zealand Dollar futures is estimated and a test for forecast evaluation is presented. A simulation is included to provide some finite sample intuition on the model and asymptotic properties.

scholarly journals Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

2021 ◽  
Vol 9 (2) ◽  
pp. 24
Author(s):  
Athanasios Tsagkanos ◽  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Christos Floros
Keyword(s):  
Sovereign Debt ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Debt Crisis ◽  
Banking System ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Intraday Data ◽  
The Impact

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.

Mediating Effect of Organizational Commitment Between Islamic Human Resource Practices and Organizational Performance Among Islamic Banks of Bangladesh

2018 ◽  
Vol 15 (2) ◽  
pp. 54-65
Author(s):  
Bablu Kumar Dhar ◽  
Rosnia Masruki ◽  
Mahazan Mutalib ◽  
Hatem Mohammed Rahouma ◽  
Farid A. Sobhani ◽  
...  
Keyword(s):  
Organizational Commitment ◽  
Organizational Performance ◽  
Human Resource ◽  
Structural Equation ◽  
Stock Exchange ◽  
Reliability And Validity ◽  
Mediating Effect ◽  
Islamic Banks ◽  
Hr Practices ◽  
The Impact

This paper aims at exploring the impact of Islamic human resource (HR) practices on organizational performance though organizational commitment. Data were collected from randomly selected 170 branch managers of six Islamic Banks listed on Dhaka Stock Exchange of Bangladesh. After collecting data, descriptive analysis and structural equation model were done to examine reliability and validity of the model. By analysis, the study finds that Islamic HR practices have more significant impact on organizational performance though organizational commitment rather than the direct effect of Islamic HR practices to organizational performance. The findings of the study advocate that Islamic banks should emphasize more on Islamic HR practices and organizational commitment to uphold their organizational performance.

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