منابع مشابه
Revisiting stock market index correlations
a r t i c l e i n f o a b s t r a c t Comovement of stock market indices increases during volatile periods, and does not come down when the turmoil settles down. This paper explains formation of persistent comovements during high volatility periods with theories from Bayesian learning. My main conclusion is that the correlation that is formed during the high volatility period is persistent beca...
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The 2007-2009 financial crisis, and its fallout, has strongly emphasized the need to define new ways and measures to study and assess the dynamics of financial markets. The S&P500 dynamics during 4/1999-4/2010 is investigated in terms of the index cohesive force (ICF the balance between the stock correlations and the partial correlations after subtraction of the index contribution). We found a ...
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In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...
متن کاملA Bayesian Approach for a Stock Market Instability Index: Application to the Korean Stock Market
Recently, Kim and others (2009) proposed a stock market instability index ( SMII ) and a corresponding p-value using a nonparametric model fitted to a stable period. However, this SMII has failed to explain the 2008 global financial market crisis because its data-driven approach relies excessively on data from the stable period upon which it is based. To resolve this problem, this study conside...
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T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...
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ژورنال
عنوان ژورنال: Journal of Finance and Accounting
سال: 2015
ISSN: 2330-7331
DOI: 10.11648/j.jfa.20150305.11