4. What trend can you observe from the data? List reasons that could explain the…
However , Martin Weber (behaviorist) , Professor Andrew W. Lo , and Professor Archie Craig MacKinlay presented evidences (a number of tests and studies ) that reportedly support the view that there are trends in the stock market and that the stock market is somewhat predictable . Using an equation , they figure out the trends that have been unfolded .…
The stock indices that were studied showed a Hurst exponent close to .5, this showing random behavior of market return. The R/S ratio in the 30 day- period window was to vary dynamically overtime. Whenever the R/S values were high, the average returns were also high.…
pessimism over corporate earnings around the world.” As one such report among many, it is…
Short selling is a trade activity in which a short seller typically borrows through a broker, who is usually holding the securities for another investor (owner of the securities); and then on the basis of his estimates or speculations, sells the securities in the market-hoping for the price to fall. The trader eventually buys the stock back, making money if the price fell in the meantime and losing money if prices rose and the lender charges a borrowing fee on the borrowed stocks from the short seller. In many markets short selling is heavily regulated.…
other than the data mining analysis (for example, they may have been collected in order…
of this study was to identify the best specified and most powerful method of abnormal…
Unless a lot of other breaking news occurs on a particular day, sharp because of the down periods. As I discuss in Chapter 2, risk and return go…
Andrew W. Lo A. Craig MacKinlay University of Pennsylvania In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety of aggregate returns indexes and size-sorted portofolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices. Since Keynes’s (1936) now famous pronouncement that most investors’ decisions “can only be taken as a result of animal spirits-of a spontaneous urge to action rather than inaction, and not as the outcome of a weighted average of benefits multiplied by quantitative probabilities,” a great deal of research has been devoted to examining the efficiency of stock market price formation. In Fama’s (1970) survey, the vast majority of those studies were unable to reject the ‘“efficient markets”…
study the link between weather and stock compares during 50 years the Dow Jones Industrial Average index and the daily cloudiness. The result is; there is a positive relationship. But how is that possible? Investors should not be impartial? I did not expected that when I give money to my bank, an investor could be influenced by a sunbeam. A possible explanation is that is the entry of sunshine periods who can be more optimistically when they are in a good mood which can results of the weather. So they can change stock prices, and affect all the market. Among other things, to reduce influence of routine weather variations on the economy, French Government set up controlled sales. French sales, are very controlled , it is during specific dates, and concerns only unsold clothes during a period. This reduces the influence of climatic on an example. In 2010, during all july. If spring and beginning of summer were cooler than expected, it would reduce shopping. So by decreasing prices, it could bring back customers in malls and increase consumption. This is an incentive policy to reduce influence of routine weather. An other way to reduce influence of routine weather, is to apply the idioms : «do not put all your eggs in one basket». For example, if I am the owner of a beer bar, my yield depends on sunshine. So if i want to redu hot chocolate. By this way, you reduce the weather influences, and sales during the all year are constant. However, we can not always diversify its business, for example in a theme park during a raining week, it is very difficult to attract clients, they will prefer to wait for next week. So it could be a good idea for them to get an insurance, or as we introduced this article they could buy a weather derivatives (or futures). Weather derivatives are financial instruments that can be used to reduce risk…
The day of the week effect also called Monday effect indicates that the average daily return of the market is not the same for all days of the week as we would expect on basis of Efficient Market theory. Monday effect is a theory which states that return of the last trading day is the highest and return on the first trading day is the lowest across the days of the week.…
ISSN 0975 – 5942 Impact of Union Budgets on Indian Stock Market –A Case Study of NSE Gurcharan Singha and Salony Kansalb a Reader, School of Management Studies, Punjabi University, Patiala b Junior Research Fellow, School of Management Studies, Punjabi University, Patiala Corresponding author: guru64@gmail.com Abstract…
First, we estimated the alpha and beta coefficients of each firm by using a single-factor market model. We used the days from –301 to –46 as the estimation window for this purpose. Second, we computed the abnormal return by subtracting a firm’s expected daily return from its observed return. We calculated the cumulative abnormal returns by adding up the abnormal returns over the periods from days -30 to 0, days -5 to 0, days 0 to 1, days 0 to 5, and days 2 to 30, where day 0 represents the next trading day following the Saturday when the Barrons’ recommendation was published. These abnormal returns are estimated for buy, sell and hold recommendations.…
Individual stock price is compared with the stock market indices. The moving average of stock and index are compared. If the NSE index is above stock’s moving average line, the particular stock has bullish trend. The price may increase above the market average. If the nifty or sensex is below the stock’s moving average, the bearish market can be expected.…
Investors spend less as they fear stocks values will fall and thus stock markets fall on negative sentiment.…