NOISE TRADER RISK: EVIDENCE FROM VIETNAM STOCK MARKET

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود 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

Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

متن کامل

Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market

This paper examines the hedging effectiveness of gold futures for the stock market in minimizing variance and downside risks, including value at risk and expected shortfall using data from the Iran emerging capital market during four different sub-periods from December 2008 to August 2018. We employ dynamic conditional correlation models including VARMA-BGARCH (DCC, ADCC, BEKK, and ABEKK) and c...

متن کامل

Risk Perceptions on Hurricanes: Evidence from the U.S. Stock Market

This article examines the market reaction of the main Property and Casualty (P & C) insurance companies listed in the New York Stock Exchange (NYSE) to seven most recent hurricanes that hit the East Coast of the United States from 2005 to 2012. For this purpose, we run a standard short horizon event study in order to test the existence of abnormal returns around the landfalls. P & C com...

متن کامل

Market liquidity risk factor and financial market anomalies: Evidence from the Chinese stock market

Article history: Received 16 May 2009 Accepted 29 July 2010 Available online 6 August 2010 The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial market anomalie...

متن کامل

Noise Trader Risk in Financial Markets

We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders’ beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly...

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: Hue University Journal of Science: Economics and Development

سال: 2019

ISSN: 2615-9716,2588-1205

DOI: 10.26459/hueuni-jed.v128i5c.5083