The fact that the implied volatility smiles for equity indices are strongly downward sloping, while the typical individual stock exhibits either a flat or even an upward sloping smile is sometimes considered puzzling. We show that this effect can easily be generated in a simple and parsimonious two-factor stochastic volatility model in the spirit of Bates (2000). From a theoretical perspective ...

This paper uses a new non-parametric, unconditional, hyperbolic order-α quantile estimator to construct a hyperbolic version of the Malmquist index. Unlike traditional non-parametric efficiency estimators, the new estimator is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S. banks between 1985 and...

Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed. Variables that are derived from the yield curve that are already known to predict returns on bonds also predict returns on bond-like stocks; investor sentiment, a predictor of the crosssection of stock returns, also ...

This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools that include only energy-sector stocks from the US and the UK respectively. Daily data are used and the index-tracking problem for passive investment is addressed with two evoluti...

Despite a tepid economic outlook and disheartening employment statistics, September 2010 was a strong month for equity markets around the world. The MSCI ACWI (All Country World Index) was up 9.4% for the month, with strong performance in both developed and emerging markets. In the US, the MSCI USA Index was up 9.3% with widespread gains in blue chips, tech stocks and small caps, the best Septe...

In this paper a data mining approach for classification of stocks into clusters is presented. After classification, the stocks could be selected from these groups for building a portfolio. It meets the criterion of minimizing the risk by diversification of a portfolio. The clustering approach categorizes stocks on certain investment criteria. We have used stock returns at different times along ...

Abstract. Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The same is not observed for the index constituents, the individual stocks. We use the discrete wavelet transform to illustrate that this is a long ra...

Prior studies on the role of banks have suggested that banks took the role of a broker or an asset transformer when performing their liquidity function. The extent of brokerage or asset transformation function was viewed from how banks managed their assets and liabilities. Although studies to illustrate the role of banks are not few, we proposed to characterize the role of the broker and asset ...

The impact of Covid-19 has triggered the current global economic downturn affecting all aspects economy including Islamic stock index. This study aims to determine model for forecasting index is used in six countries through adopting Autoregressive Conditional Heteroscedasticity - Generalized (ARCH-GARCH) method on daily data over period January 2020 October 2020. risk level each was found be i...