Comparing Heavy-Tailed Distributions in Fitting the Canadian Stock Market Returns

2017 ◽  
Author(s):  
David Eden ◽  
Paul Huffman ◽  
John Holman
Keyword(s):  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Heavy Tailed Distributions ◽  
Heavy Tailed

scholarly journals A New Class of Heavy-Tailed Distribution and the Stock Market Returns in Germany

2017 ◽  
Vol 4 (2) ◽  
pp. 13 ◽  
Author(s):  
John Oden ◽  
Kevin Hurt ◽  
Susan Gentry
Keyword(s):  
Stock Market ◽  
Global Economy ◽  
Heavy Tails ◽  
Financial Sector ◽  
Superior Performance ◽  
Market Returns ◽  
Stock Market Returns ◽  
Volatility Clustering ◽  
Empirical Performance ◽  
Heavy Tailed

As the fourth largest economy over the world, Germany’s financial sector plays a key role in the global economy. As one of the most important components of the financial sector, the equity market played a more and more important role. Thus, risk management of its stock market is crucial for welfare of its market participants. To account for the two stylized facts, volatility clustering and conditional heavy tails, we take advantage of the framework in Guo (2016) and consider empirical performance of the GARCH model with normal reciprocal inverse Gaussian distribution in fitting the German stock return series. Our results indicate the NRIG distribution has superior performance in fitting the stock market returns.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

Media Coverage of Corporate Governance Scandals and Stock Market Returns

2011 ◽  
Author(s):  
Raymond Siu Yeung Chan ◽  
See Tin Tang ◽  
Roy F. Ying ◽  
Sun Wing Tam
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Media Coverage ◽  
Market Returns ◽  
Stock Market Returns
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