The Asymmetry and Nonlinearity between Foreign Trading and Stock Index - Evidence from Threshold Cointegration

2007 ◽  
Author(s):  
Li-Ju Tsai ◽  
Pei-Gi Shu ◽  
Show-Lin Chen ◽  
Sue-Jane Chiang
Keyword(s):  
Stock Index ◽  
Threshold Cointegration ◽  
Foreign Trading ◽  
The Asymmetry

An Application of Threshold Cointegration to Taiwan Stock Index Futures and Spot Markets

2003 ◽  
Vol 06 (03) ◽  
pp. 291-304 ◽  
Author(s):  
Ching-Chung Lin ◽  
Shen-Yuan Chen ◽  
Dar-Yeh Hwang
Keyword(s):  
Transaction Costs ◽  
Stock Index ◽  
Spot Markets ◽  
Stock Index Futures ◽  
Threshold Cointegration ◽  
Index Futures ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Intraday Data ◽  
Arbitrage Opportunity

This paper examines the arbitrage opportunity existing between Taiwan stock index futures and spot markets with the consideration of transaction costs. Index-futures arbitrageurs only enter into the market if the deviation from the equilibrium relationship is sufficiently large to compensate for transaction costs, as well as risk and price premiums. Employing the 5-minute intraday data of Taiwan index futures contracts, this paper uses the threshold cointegration model to estimate the upper and lower thresholds within which arbitrage is not profitable and, hence, the mispricing errors do not adjust back to equilibrium in the central regime. Combining these thresholds with an error correction model (ECM), empirical results show that there exists bi-directional Granger–causality relationship between index futures and spot markets. However, once the long-run cointegrated equilibrium does not hold, re-establishment of the equilibrium situation mostly depends on price adjustment in the futures market.

The Asymmetry of Stock Index Returns: A Comparison of the Effects of Rising and Falling Oil Price Periods and Oil Price Shocks in Korea

2016 ◽  
Vol 12 (4) ◽  
pp. 725-742
Author(s):  
Ji-Hong Jeon ◽  
◽  
Sang-Lim Lee ◽  
Chang-Min Lee ◽  
◽  
...  
Keyword(s):  
Oil Price ◽  
Stock Index ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Asymmetry ◽  
Stock Index Returns

EFFECT OF CELLULAR MEMBRANE RESISTIVITY INHOMOGENEITY ON THE THERMAL NOISE-LIMIT

2015 ◽  
Vol 11 (3) ◽  
pp. 3171-3183
Author(s):  
Gyula Vincze
Keyword(s):  
Field Strength ◽  
Thermal Noise ◽  
Cellular Membrane ◽  
Thermal Limit ◽  
Low Frequencies ◽  
Membrane Resistivity ◽  
Noise Limit ◽  
The Asymmetry ◽  
Characteristic Field

Our objective is to generalize the Weaver-Astumian (WA) and Kaune (KA) models of thermal noise limit to the case ofcellular membrane resistivity asymmetry. The asymmetry of resistivity causes different effects in the two models. In the KAmodel, asymmetry decreases the characteristic field strength of the thermal limit over and increases it below the breakingfrequency (10  m), while asymmetry decreases the spectral field strength of the thermal noise limit at all frequencies.We show that asymmetry does not change the character of the models, showing the absence of thermal noise limit at highand low frequencies in WA and KA models, respectively.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

META-ANALYSIS ON AMERICAN PRESIDENTIAL ELECTION - 2016 AND AMERICAN STOCK MARKET

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Farhan Ahmed ◽  
Salman Bahoo ◽  
Sohail Aslam ◽  
Muhammad Asif Qureshi
Keyword(s):  
Content Analysis ◽  
Stock Market ◽  
Event Study ◽  
Presidential Election ◽  
Republican Party ◽  
Stock Exchange ◽  
Meta Analysis ◽  
Composite Index ◽  
Stock Index ◽  
Political Event

This paper aims to analyze the efficient stock market hypothesis as responsive to American Presidential Election, 2016. The meta-analysis has been done combining content analysis and event study methodology. The all major newspapers, news channels, public polls, literature and five important indices as Dow Jones Industrial Average (DJIA), NASDAQ Stock Market Composit Indexe (NASDAQ-COMP), Standard & Poor's 500 Index (SPX-500), New York Stock Exchange Composite Index (NYSE-COMP) and Other U.S Indexes-Russell 2000 (RUT-2000) are critically examined and empirically analyzed. The findings from content analysis reflect that stunned winning of Mr Trump from Republican Party worked as shock for American stock market. From event study, findings confirmed that all the major indices reflected a decline on winning of Trump and losing of Ms. Clinton from Democratic. The results are supported empirically and practically through the political event like BREXIT that resulted in shock to Global stock index and loss of $2 Trillion.

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