The Time-Varying Relation between Stock Returns and Monetary Variables

2021 ◽  
Author(s):  
David G. McMillan
Keyword(s):  
Stock Returns ◽  
Time Varying

scholarly journals Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Boubekeur Baba ◽  
Güven Sevil
Keyword(s):  
Stock Returns ◽  
Negative Feedback ◽  
Positive Feedback ◽  
Positive Response ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Foreign Investors ◽  
New Findings ◽  
Net Flows ◽  
Feedback Trading

AbstractThis study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new findings about foreign investors’ trading behaviors. First, we find evidence that positive feedback trading often appears during periods of high economic uncertainty, whereas negative feedback trading is exclusively observable during periods of low economic uncertainty. Second, the foreign investors’ feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises. Third, lagged negative (positive) response of net flows to economic uncertainty is found to be coupled with lagged positive (negative) feedback trading. Fourth, the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty. Specifically, we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty. In contrast, they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

scholarly journals The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Begüm Yurteri Kösedağlı ◽  
Gül Huyugüzel Kışla ◽  
A. Nazif Çatık
Keyword(s):  
Stock Returns ◽  
Positive Impact ◽  
Structural Break ◽  
Oil Prices ◽  
Time Varying ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Structural Break Test ◽  
The Impact ◽  
Oil Gas

AbstractThis study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

scholarly journals Time-varying inflation risk and stock returns

2020 ◽  
Vol 136 (2) ◽  
pp. 444-470 ◽  
Author(s):  
Martijn Boons ◽  
Fernando Duarte ◽  
Frans de Roon ◽  
Marta Szymanowska
Keyword(s):  
Stock Returns ◽  
Time Varying ◽  
Inflation Risk

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

Market reaction to scheduled and unscheduled news announcements under varying economic conditions

2020 ◽  
Author(s):  
◽  
Parveshsingh Seeballack
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Implied Volatility ◽  
Equity Market ◽  
Economic Conditions ◽  
Time Varying ◽  
Equity Risk Premium ◽  
Macroeconomic News ◽  
Equity Risk ◽  
News Announcements

The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market.

scholarly journals A Study to Examine Time-Varying Effectiveness of Stock Returns on Tehran Stock Exchange

2013 ◽  
Vol 4 (2) ◽  
Author(s):  
Rahele SiamiNamini ◽  
Fereydoun RahnamaRoudposhti ◽  
Mohammad.H Janani
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Time Varying

Internet gambling stock returns: empirical evidence from the UK

2017 ◽  
Vol 13 (1) ◽  
pp. 36-49
Author(s):  
Daniel Perez Liston
Keyword(s):  
Stock Returns ◽  
Multivariate Garch ◽  
Online Gambling ◽  
Future Research ◽  
Time Varying ◽  
Conditional Correlation ◽  
Socially Responsible ◽  
Content Type ◽  
Starting Point ◽  
The Uk

Purpose The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of the online gambling portfolio with both the market and socially responsible portfolios. In addition, this paper documents the effect of important UK gambling legislation on the betas and correlations of the online gambling portfolio. Design/methodology/approach This study uses static and time-varying models (e.g. rolling regressions, multivariate GARCH models) to estimate betas and correlations for a portfolio of UK online gambling stocks. Findings This study finds that beta for the online gambling portfolio is less than 1, indicative of defensiveness toward the market, a result that is consistent with prior literature for sin stocks. In addition, the conditional correlation between the market and online gambling portfolio is small when compared to the correlation of the market and socially responsible portfolios. Findings suggest that the adoption of the Gambling Act 2005 increases the conditional correlation between the market and online gambling portfolio and it also increases the conditional betas for the online gambling portfolio. Research limitations/implications This paper serves as a starting point for future research on online gambling stocks. Going forward, studies can focus on the financial performance or accounting performance of online gambling stocks. Originality/value This empirical investigation provides insight into the risk characteristics of publicly listed online gambling companies in the UK.

The time varying effect of monetary policy on stock returns

2017 ◽  
Vol 160 ◽  
pp. 54-58 ◽  
Author(s):  
Dennis W. Jansen ◽  
Anastasia Zervou
Keyword(s):  
Monetary Policy ◽  
Stock Returns ◽  
Time Varying ◽  
Effect Of Monetary Policy
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