In this study, we demonstrate how price limits can affect a return series on limit-hitting days. Our identification of two effects – a ceiling effect and a cooling or heating effect (C-H effect) is based on a resampling method suggested by Wei and Chiang (1999). We estimate the C-H effect by assuming that the return series will have a mixture normal density instead of a simple normal density. W...

one of the latest approaches for analyzing the coupled time series is mf-dxa. this technique has been used in many disciplines such as finance. in this paper, we have analyzed tehran stock exchange indexes by mf-dxa and have found a scaling behavior between the industrial, financial and price indexes. by surrogating, we could see that the effects of low probability events in industrial and fina...

â â â â â â  â  abstract â  outward-oriented economies seem to grow faster than inward-looking ones. does the literature on convergence have anything to say on this? in the dynamic heckscher-ohlin-samuelson model, with factor-price equalization, there is no convergence of incomes. this is because with identical preferences and return to capital, irrespective of initial levels the growth rates o...

Yapılan bu çalışmanın amacı, 1.1.2016-4.12.2022 dönemini kapsayan günlük veriler yardımıyla Bitcoin ile alakalı çıkan haberler hem fiyatı de getirisi arasındaki ilişkiyi zamanla değişen nedensellik analizi kapsamında incelemektir. Söz konusu ilişkinin varlığı, Hacker ve Hatemi-J (2006)’nin Boostrapt Temelli Toda-Yamamoto Nedensellik Testi kullanılarak araştırılmıştır. Elde edilen testi bulgular...

today, stock investment has become an important mean of national finance. apparently, it is significant for investors to estimate the stock price and select the trading chance accurately in advance, which will bring high return to stockholders. in the past, long-term trading processes and many technical analysis methods for stock market were put forward. however, stock market is a nonlinear sys...

Predictability of the return on the market portfolio is a well established fact. This study shows that predictability is a more general phenomenon and it extends to return indices of the U.S. states. At the state level, the consumption trend deviation of Lettau and Ludvigson, and the collateral ratio of Lustig and Van Nieuwerburgh can predict short-term and long-term state-level returns. The st...

We derive optimal portfolio weights for an investor who has specific beliefs regarding the distribution of a stock price at a future time. For example, a fundamental investor will want to take advantage of the information his analysis provides when constructing a portfolio. In this regard, we examine the optimal weights for models in which the investor believes that there is a range in which th...