Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Can Oil Prices Predict Stock Market Returns?

This paper performs an empirical investigation into the relationship between oil price and stock markets returns for seven countries (Kuwait, Oman, UAE, Bahrain, Qatar, UK and USA) by applying the Vector Auto Regression (VAR) analysis. During this period oil prices have tripled creating a substantial cash surplus for the Gulf Cooperation Council (GCC) Countries while simultaneously creating inc...

متن کامل

Impact of Speculative Bubble on Stock Returns in Companies Listed on Tehran Stock Exchange

Recent studies show that individual investors tend to speculate on stock markets and hold shares with a lottery-like return. For this speculation of people have a significant impact on stock returns, individual investors must trade the same shares with the same time. The purpose of this study was to investigate the effect of the speculative bubble on the stock returns of companies in Iran. Foll...

متن کامل

The Distribution of Returns of Stock Prices

We perform a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets. We consider (i) the trades and quotes (TAQ) database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994–95, and (ii) the Center for Research and Security Prices...

متن کامل

cross-correlations of stock returns

ew York vanished y of timeeir peaks ting in a reasingly We analyse the temporal changes in the cross-correlations of returns on the N Stock Exchange. We show that lead–lag relationships between daily returns of stocks in less than 20 years. We have found that even for high-frequency data the asymmetr dependent cross-correlation functions has a decreasing tendency, the position of th is shifted ...

متن کامل

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the prior six months; and 2) positive retu...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2004

ISSN: 1556-5068

DOI: 10.2139/ssrn.546482