This study examines whether the direction and magnitude of the aggregate order-imbalance of the index stocks can explain the arbitrage spread between index futures and the underlying cash index. The data are for the Asian financial crisis period and hence entail wide variations in order imbalance and the index-futures basis. The analysis controls for realistic trading costs and actual dividend ...

While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which comprises stocks traded in the Brazil...

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 ă α ă 2 are used for assessing the appropriateness of the stable assumption as the innovations process in stable-GARCH-type models for daily stock returns. Overall, there is strong evidence ag...

We examine whether investor sentiment affects price discrepancies between preferred and common stocks, based on a sample of Korean firms that issue stocks. While most research has focused corporate finance features such as voting rights, we behavioral feature from new perspective. Based the index, increases, stocks widen in KOSPI market. These findings confirm sentiment—not merely premiums, cas...

The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices [1, 2]. Such a distribution typically goes through a maximum at a time coined the optimal investment horizon, τ ρ , which defines the most likely waiting time for obtaining a given return ρ. By considering equal positive and negative levels o...

We study the role of active and passive investors in an investment market with uncertainties. Active investors concentrate on a single or a few stocks with a given probability of determining the quality of them. Passive investors spread their investment uniformly, resembling buying the market index. In this toy market stocks are introduced as good and bad. If a stock receives sufficient investm...

Selections of stocks that are suitable for investment are always a complex task. The main aim of every investor is to identify a stock that has potential to go up so that the investor can maximize possible returns on investment. After identification of stock the second important point of decision making is the time to make entry in that particular stock so that investor can get returns on inves...

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the regression – the home country or global index – depends on the level of global market integration. We...

Many central banks conduct monetary policy according to an inflation targeting framework, which requires that some measure of inflation be chosen as the target. One approach would be to use an index of goods and services whose prices are market determined and not subject to frequent, idiosyncratic, and transitory changes. That could be an index based on the personal consumption expenditures pri...