Price extremes and asymmetric dependence structures in stock returns: the emerging market evidence

PurposeEquity research in experimental psychology reveals investors' overreactions to bad news events. This study of asymmetric price structures in equity markets investigates whether such behavior predicts stock returns in an emerging market of India.Design/methodology/approachThe research decomposes Bombay Stock Exchange (BSE) Sensex returns into Extremely Positive Returns (EPR) and Extremely Negative Returns (ENR) based on extreme values at first and then tests their lead–lag relations.FindingsThe empirical finding is consistent with the existing evidence of asymmetric news effects on stock returns in India. In precise, ENR robustly predicts one-month-ahead EPR for the sample period from January 1991 to March 2020. This predictive power persists even in the presence of popular valuation ratios and business cycle variables.Practical implicationsThe paper explains the rationale of extreme value modeling in price forecasting. Investors can find additional utility gains from market cycle information while predicting extreme returns in Indian stock market.Originality/valueThe paper is unique to understand business cycle effects in extreme return reversals in emerging markets.

Partisan media effects beyond one-shot experimental designs

Previous study demonstrates that partisans perceive in-party news outlets as fair, and out-party news outlets as unfair. However, much of this study relies on one-shot designs. We create an ecologically valid design that randomly assigns participants to news feeds within a week-long online news portal where the balance of in-party and out-party news outlets has been manipulated. We find that sustained exposure to a feed that features out-party news media attenuates Democrats' beliefs that Fox News is unfair, but the same is not true for Republican's perceptions of MSNBC's fairness. Unexpectedly, repeated exposure to in-party news did increase Republicans' beliefs that Fox News is unfair. This study updates our understanding of partisan news effects in a fragmented online news environment.

Beyond positive or negative: Understanding the phenomenology, typologies and impact of incidental news exposure on citizens’ daily lives

The ubiquitous nature of online news, especially in social media, increasingly exposes readers to news even when they are not seeking it. Based on 50 semi-structured interviews with Spanish incidental news consumers, we inductively explore the effects of incidental news consumption and problematize the phenomenology of encountering news passively on social media. Our results first question previous quantitative analysis on the potential positive effects of incidental news exposure, evidencing its minimal or null effects on how citizens make sense of, and are informed about, public affairs and politics. Second, our findings indicate that citizens appraisals of incidental news content varies according to the producers involved, the topics addressed and the interest triggered. Our study contributes to current discussions of incidental news exposure, arguing that both quantitative and qualitative studies should consider the direct and indirect impact of structural, cognitive and situational variables to holistically account for incidental news effects.

SPILLOVER EFFECT INFLASI DAGING SAPI ANTAR KOTA: APLIKASI METODE BEKK-GARCH UNTUK JAKARTA, SALATIGA, DAN SURABAYA

Beef consumption in Indonesia tends to increase and its price fluctuates. In addition to internal factors, the volatility of beef inflation can also be influenced by other regions (spillover effect). Using BEKK-GARCH model, we try to show spillover effect the volatility of beef inflation in Jakarta, Salatiga, and Surabaya. The transmissions of news effects occur from Jakarta and Surabaya to Salatiga and from Jakarta and Salatiga to Surabaya. Transmission of two-way volatility occurs between Jakarta and Surabaya. Furthermore, the transmission of one-way volatility occurrs from Jakarta to Salatiga. Price fluctuation in consumer areas will be followed by price fluctuation in other consumer areas and producer areas. Therefore, controlling beef inflation should be began from consumer areas.

Are Consumers' Spending Decisions in Line With an Euler Equation?

Evaluating a new survey of German consumers, we test whether individual consumption spending decisions are formed according to an Euler equation model. We find that consumers are more likely to increase current spending if they plan to increase spending in the future and if they expect higher inflation. In the subsample of financially literate households, we find an additional negative effect of nominal interest rate expectations. The effects of macroeconomic expectations become stronger if consumers observed news on monetary policy or financial markets. These news effects are particularly pronounced for consumers who save and those with low inflation forecast accuracy.