Unconditional First Moment and Conditional Second Moment Effects: Intra-Day Stock Price, Market Index and Futures Price Processes

2001 ◽  
Author(s):  
Gerard L. Gannon
Keyword(s):  
Stock Price ◽  
Second Moment ◽  
Market Index ◽  
Futures Price ◽  
First Moment

scholarly journals ESG Disclosures and Stock Price Crash Risk

2021 ◽  
Vol 14 (2) ◽  
pp. 70 ◽  
Author(s):  
Rio Murata ◽  
Shigeyuki Hamori
Keyword(s):  
Dynamic Model ◽  
Stock Price ◽  
The United States ◽  
Crash Risk ◽  
Firm Level ◽  
Market Participants ◽  
Major Market ◽  
Market Index ◽  
Index Components ◽  
The Relationship

In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures and stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index components in Europe, the United States, and Japan to perform regression analyses, after controlling for other potential stock price crash determinants. We estimate static two-way fixed-effect models and dynamic GMM models. We find that coefficients of firm-level ESG disclosures are not statistically significant in the static model. ESG disclosure coefficients in the dynamic model are not statistically significant in the U.S. market sample. On the other hand, coefficients of ESG disclosure scores in the dynamic model are statistically significant and negative in the European and Japanese marker sample. Our findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG disclosures differ among regions.

scholarly journals The Influence of Trading Locations on Equity Returns

2016 ◽  
Vol 12 (12) ◽  
pp. 188
Author(s):  
Nguyen N.T. Vo
Keyword(s):  
Risk Premium ◽  
Stock Price ◽  
Listed Companies ◽  
Equity Returns ◽  
Stock Exchanges ◽  
Home Market ◽  
Trade Effect ◽  
Market Index ◽  
Highly Correlated ◽  
The Impact

This paper evaluates the impact of trading locations on equity returns by examining the stock price behaviour of three Anglo-Dutch dual-listed companies which result from mergers where two corporations agree to function as a single operating business, but maintain separate identities. The shares of these stocks are traded not only in their home market but also on several US stock exchanges in the form of American Depository Receipts. Regressing the return differentials on these dual-listed and cross-listed stocks on the relative market index returns and currency changes provides evidence of an apparent violation of the Law of One Price. The regression results show that the return on each part of dual-listed companies is highly correlated with the market on which it is most intensively traded. Similarly, returns on cross-listed stocks have considerably higher co-movement with US market indices and considerably lower co-movement with home-market indices than their home-market counterparts. Market risk premium is not a significant explanatory variable of the location of trade effect.

scholarly journals MARKETING RESEARCH PROCESSES. A PERSPECTIVE OF THE FUTURE FROM A QUALITATIVE VIEW

2020 ◽  
pp. 111-130
Author(s):  
Luz Alexandra Montoya-Restrepo ◽  
Iván Alonso Montoya-Restrepo ◽  
Sandra Rojas-Berrio
Keyword(s):  
Social Networking ◽  
Quantitative Research ◽  
Market Research ◽  
Marketing Research ◽  
Future Research ◽  
Scientific Journals ◽  
Second Moment ◽  
The Future ◽  
First Moment

The objective of this document is to resume the increasing importance of qualitative market research, which has shown growth not just in scientific journals but also has larger numbers compared to quantitative research. The first step was reflecting on research in marketing and the possibilities it offers to get to know consumers and purchasing habits. The methodology applied is divided in two moments: the first moment is based on bibliometrics, which reviews trends in publications, and in the second moment, different scenarios from marketing research are proposed based on experts’ opinions and prospective methods (Smic Prob-Expert method). The conclusion is that in the future, research will become a discipline that is largely associated to sensory and neurological studies, operated with social networking strategies and oriented to the description of specific phenomena, all of which will lead to a new scientific anthropo-marketing.

scholarly journals Nonvanishing for cubic L-functions

2021 ◽  
Vol 9 ◽  
Author(s):  
Chantal David ◽  
Alexandra Florea ◽  
Matilde Lalin
Keyword(s):  
Critical Point ◽  
Number Field ◽  
Upper Bound ◽  
Riemann Hypothesis ◽  
Implied Constant ◽  
Field Case ◽  
Second Moment ◽  
Positive Proportion ◽  
First Moment

Abstract We prove that there is a positive proportion of L-functions associated to cubic characters over $\mathbb F_q[T]$ that do not vanish at the critical point $s=1/2$ . This is achieved by computing the first mollified moment using techniques previously developed by the authors in their work on the first moment of cubic L-functions, and by obtaining a sharp upper bound for the second mollified moment, building on work of Lester and Radziwiłł, which in turn develops further ideas from the work of Soundararajan, Harper and Radziwiłł. We work in the non-Kummer setting when $q\equiv 2 \,(\mathrm {mod}\,3)$ , but our results could be translated into the Kummer setting when $q\equiv 1\,(\mathrm {mod}\,3)$ as well as into the number-field case (assuming the generalised Riemann hypothesis). Our positive proportion of nonvanishing is explicit, but extremely small, due to the fact that the implied constant in the upper bound for the mollified second moment is very large.

scholarly journals PENGARUH NILAI TUKAR, TINGKAT BUNGA, INFLASI, DAN JUMLAH UANG BEREDAR TERHADAP INDEKS HARGA SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA (BEI) (Studi Kasus pada Indek Harga Saham Sektor Keuangan Di BEI)

2018 ◽  
Vol 5 (2) ◽  
pp. 1-19
Author(s):  
Amna Mawardi
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Financial Sector ◽  
Stock Market Index ◽  
Market Index ◽  
Us Dollar ◽  
Stock Price Index

In the midst of uncertain economic condition, nowadays people tend to secure the potential assests they have, and think how to take advantage of the assets they have in order to keep it high in value for a long period of time. One of the way is by invest in the form of securities traded in the capital market. That is why every investor in the capital market urgently require a relevant informations on trend of transactions as reference in making investment decisions. One of the required information is stock market index. The purpose of this study is to examine the effect 0f macro economic indicators, US Dollar exchange rate, interest rate, inflation rate, and money supply on stock market index in Indonesia Stock Exchange (IDX). The method used in this research is using multiple linear regression. Data obtained from SEKI -  Bank Indonesia (Economic and Financial Statistics - Central Bank of The Republic of Indonesia) and  IDX (Indonesia Stock Exchange), in the form of secondary data of monthly period in year 2011 – 2015, collected by documentation techniniques. The results showed that partially variable of US Dollar exchange rates, interest rates, inflation rates, and money supply have no effect on the stock price index of financial sector. Whereas universally interest rates have a significant positive effect on the stock price index of financial sector. Over all simultaneously US Dollar exchange rates, interest rates, inflation rates, and money supply have an effect on the stock price index of financial sector.   Keywords: exchange rate, interest rate, inflation rate, money supply, and stock market index.

scholarly journals THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX

2020 ◽  
Vol 1 (1) ◽  
pp. 18-28
Author(s):  
Endang Soeryana Hasbullah ◽  
Endang Rusyaman ◽  
Alit Kartiwa
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Garch Model ◽  
Test Method ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Market Index ◽  
Causality Relationship ◽  
The Garch Model ◽  
The Relationship

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.

scholarly journals Evaluation of Analysis by Cross-Validation. Part I: Using Verification Metrics

2018 ◽  
Author(s):  
Richard Menard ◽  
Martin Deshaies-Jacques
Keyword(s):  
Air Quality ◽  
Cross Validation ◽  
Error Variance ◽  
Quality Analysis ◽  
Second Moment ◽  
Error Margin ◽  
Analysis Scheme ◽  
Analysis Error ◽  
First Moment

We examine how observations can be used to evaluate an air quality analysis by verifying against passive observations (i.e. cross-validation) that are not used to create the analysis and we compare these verifications to those made against the same set of (active) observations that were used to generate the analysis. The results show that both active and passive observations can be used to evaluate of first moment metrics (e.g. bias) but only passive observations are useful to evaluate second moment metrics such as variance of observed-minus-analysis and correlation between observations and analysis. We derive a set of diagnostics based on passive observation–minus-analysis residuals and we show that the true analysis error variance can be estimated, without relying on any statistical optimality assumption. This diagnostic is used to obtain near optimal analyses that are then used to evaluate the analysis error using several different methods. We compare the estimates according to the method of Hollingsworth Lonnberg, Desroziers, a diagnostic we introduce, and the perceived analysis error computed from the analysis scheme, to conclude that as long as the analysis is optimal, all estimates agrees within a certain error margin. The analysis error variance at passive observation sites is also obtained.

scholarly journals Uma universidade possível à luz da extensão e da Educação Popular

2018 ◽  
pp. 119-148
Author(s):  
Tiago Zanquêta de Souza
Keyword(s):  
Social Practice ◽  
Popular Education ◽  
Critical Perspective ◽  
Second Moment ◽  
Epistemological Perspective ◽  
First Moment ◽  
The University

Este artigo tem como objetivo trazer uma reflexão em torno da universidade brasileira em uma perspectiva histórico-crítica, a fim de apresentar um caminho possível para a elaboração de um fazer universitário inspirado na prática de extensão popular, pautada na luta contra a desumanização em curso e contra o projeto de colonização vigente. Quando se faz extensão popular, nutre-se uma perspectiva teórica e epistemológica para a extensão universitária que seja capaz de sugerir caminhos possíveis para outras realizações entre a universidade e a sociedade, e entre a sociedade e a universidade, ou seja, em ambos os sentidos. Nessa perspectiva, em um primeiro momento, são trazidos apontamentos históricos conceituais em torno da extensão universitária brasileira; em um segundo momento, busca-se a compreensão do conhecimento que é produzido pela universidade; para finalizar, propõe-se a pensar na descolonização do saber, na perspectiva da extensão popular enquanto prática social. Palavras-chaves: Educação Popular. Extensão universitária. Prática social. A university possible in the light of extension and Popular Education AbstractThis article aims to bring a reflection around the Brazilian university, in a historical-critical perspective, in order to present a possible path for the elaboration of a university project inspired by the practice of popular extension, based on the fight against the ongoing dehumanization and against the current colonization project. When a popular extension is made, a theoretical and epistemological perspective is fostered for university extension that is capable of suggesting possible paths to other achievements between the university and society, and between society and the university, that is, in both directions. From this perspective, in a first moment, we bring conceptual historical notes around the Brazilian university extension; in a second moment, we seek to understand the knowledge that is produced by the university and, finally, we propose to think the decolonization of knowledge, in the perspective of the popular extension as a social practice. Keywords: Popular Education. University extension. Social practice. Una universidad posible a la luz de la extensión y la Educación Popular ResumenEste artículo tiene como objetivo traer una reflexión en torno a la universidad brasileña, en una perspectiva histórico-crítica, a fin de presentar un camino posible para la elaboración de un hacer universitario inspirado en la práctica de extensión popular, pautada en la lucha contra la deshumanización en curso y contra el proyecto de colonización vigente. Cuando se hace extensión popular, se nutre una perspectiva teórica y epistemológica para la extensión universitaria que sea capaz de sugerir caminos posibles para otras realizaciones entre la universidad y la sociedad, y entre la sociedad y la universidad, o sea, en ambos sentidos. En esa perspectiva, en un primer momento, traemos apuntes históricos conceptuales en torno a la extensión universitaria brasileña; en un segundo momento, buscamos la comprensión del conocimiento que es producido por la universidad y, para finalizar, nos proponemos a pensar la descolonización del saber, en la perspectiva de la extensión popular como práctica social. Palabras claves: Educación Popular. Extensión universitaria. Práctica social.

scholarly journals História Cultural e História das Ideias Educativas: reflexões e desafios

2019 ◽  
Vol 88 (220) ◽  
Author(s):  
Alberto Araújo
Keyword(s):  
Cultural History ◽  
Second Moment ◽  
De Se ◽  
History Of ◽  
First Moment

Tenta, num primeiro momento, compreender as questões e os desafios que a "nova" História Cultural coloca a quem pretende investigar no campo da História das Ideias Educativas. Num segundo momento, interroga-se se a História das Ideias Educativas e as figuras do imaginário educacional, que também a constitui, assume um desafio à "nova" História Cultural. Do cruzamento dos dois momentos, o autor conclui da impossibilidade de se fazer uma História das Ideias Educativas sem ter em conta os novos olhares sobre a História Cultural, nomeadamente a sua perspectiva hermenêutica e a ênfase atribuída ao lugar das imagens, assim como defende a necessidade da "nova" História Cultural ter em conta as figuras do imaginário educacional: mitos, temas míticos, heróis e divindades mitológicas, presentes nas ideias educativas. Palavras-chave: história cultural; história das ideias educativas; ideias educativas; imaginário educacional. Abstract In a first moment in this paper, the author tries to understand the issues and challenges that the "new" Cultural History raises to whom wishes to research the field of History of Educational Ideas. In a second moment, he discusses if the History of Educational Ideas and the symbols of the educational imaginary are defying the "new" Cultural History. After these two moments, the author concludes of the impossibility of making History of Educational Ideas without taking into consideration new insights on the Cultural History, specifically the hermeneutic perspective and the stress upon images, as it is emphasised by the "new" Cultural History when analysing several educational imaginary symbols: myths, mythical themes, heroes and mythological divinities present in educational ideas. Keywords: cultural history; history of educational ideas; educational ideas; educational imaginary.

scholarly journals Gênese da intelectualidade neoliberal segundo Michel Foucault

2019 ◽  
Vol 16 (31) ◽  
pp. 181
Author(s):  
Lucas Trindade da Silva
Keyword(s):  
Political Economy ◽  
Michel Foucault ◽  
Modern Art ◽  
Second Moment ◽  
Reason Of State ◽  
First Moment ◽  
Regime Of Truth

Após uma sumária revisão de algumas abordagens sobre a origem e o conceito de intelligentsia e intelectuais, este artigo busca demonstrar rapidamente, num primeiro momento, como Foucault concebe a racionalidade de governo moderna, a partir dos fisiocratas e da economia política, como corpo sistematizador de práticas e discursos de poder fundados em regimes de verdade, em contraste com uma arte de governar pré-moderna (mercantilismo, razão de Estado) ainda embaraçada com a afirmação do poder como regime de justiça. Num segundo momento, leremos o Nascimento da Biopolítica como uma detida análise da formação prático-discursiva de um novo regime de verdade no ordoliberalismo alemão e no  neoliberalismo francês estadunidense. Ao fim, reiteramos, em diálogo com a primeira parte do artigo, a razoabilidade de falarmos em uma intelectualidade ordo e neoliberal a partir dos estudos de Foucault.Palavras-chave: Intelligentsia. Intelectuais. Governamentalidade. Neoliberalismo.Genesis of neoliberal intellectuality according to Michel FoucaultAbstractAfter a brief review of some approaches to the origin and concept of intelligentsia and intellectuals, this article seeks to demonstrate, at a first moment, how Foucault conceives the modern rationality of government from the physiocrats and political economy as a systematizing body of practices and discourses of power based on regimes of truth, in contrast to a pre-modern art of governance (mercantilism, reason of state) still embarrassed with the assertion of power as a regime of justice. In a second moment, we will read The Birth of Biopolitics as a detained analysis of the practicaldiscursive formation of a new regime of truth in German ordoliberalism and French and American neoliberalism. Finally, we reiterate, in dialogue with the first part of the article, the reasonableness of speaking in an ordo and neoliberal intelligentsia based on Foucault’s studies.Keywords: Intelligentsia. Intellectuals. Governmentality. Neoliberalism.

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