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Stocks for the long run : the definitive guide to financial market returns & long-term investment strategies
Now in its fifth edition, \"Stocks for the Long Run\" includes Siegel's highly anticipated analysis of the sub-prime crash, the financial crisis, and resulting world-wide recession. This new edition also includes a deeper focus on international investing and emerging markets.
Book
Stock Market Math
Stock Market Math shows you how to calculate return, leverage, risk, fundamental and technical analysis problems, price, volume, momentum and moving averages, including over 125 formulas and Excel programs for each, enabling readers to simply plug formulas into a spread sheet. This book is the definitive reference for all investors and traders. It introduces the many formulas and legends every investor needs, and explains their application through examples and narrative discussions providing the Excel spreadsheet programs for each. Readers can find instant answers to every calculation required to pick the best trades for your portfolio, quantify risk, evaluate leverage, and utilize the best technical indicators. Michael C. Thomsett is a market expert, author, speaker and coach. His many books include Mathematics of Options, Real Estate Investor's Pocket Calculator, and A Technical Approach to Trend Analysis. In Stock Market Math, the author advances the science of risk management and stock evaluation with more than 50 endnotes, 50 figures and tables, and a practical but thoughtful exploration of how investors and traders may best quantify their portfolio decisions.
eBook
NAFTA stock markets : dynamic return and volatility linkages
Intro -- NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES -- NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES -- CONTENTS -- ABSTRACT -- INTRODUCTION -- EXISTING EMPIRICAL ANALYSIS OF NAFTA STOCK MARKETS -- DATA AND DESCRIPTIVE STATISTICS -- COINTEGRATION ANALYSES -- 4.1. THE JOHANSEN MULTIVARIATE APPROACH -- 4.2. EMPIRICAL RESULTS -- 4.3. RECURSIVE COINTEGRATION ANALYSIS -- 4.4. ROLLING COINTEGRATION -- 4.5. COINTEGRATION AND STRUCTURAL CHANGE -- 4.6. COINTEGRATION AND THRESHOLD EFFECTS -- GENERALIZED IMPULSE-RESPONSE FUNCTIONS -- THE MULTIVARIATE GARCH: METHOD AND ECONOMETRICS -- 6.1. ISSUES AND STYLIZED FACTS -- 6.2. ECONOMETRIC FRAMEWORK -- The Mean Model -- The Covariance Model -- THE MULTIVARIATE GARCH: ESTIMATION RESULTS -- CONCLUSION -- REFERENCES -- INDEX.
eBook
Seasonalities in China's Stock Markets: Cultural or Structural?
In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.
eBook
Exchange Rate Exposure and its Determinants
Increasing economic integration and development of global markets means that few companies, if any, are unaffected by currency movements. Change in a companys earnings due to unexpected changes in foreign currency exchange rates relative to their domestic currency is known as foreign exchange rate risk. Exchange rate changes can also impact the level of competitiveness of firms that are exposed to exchange rate risk, or affect the value of net assets denominated in foreign currencies. Although foreign exchange risk is one of the many business risks faced by modern corporations, it has not been subject of much empirical research. More puzzling is that the fundamental question regarding the impact of foreign exchange rate movements remains unanswered. Therefore, this e-book seeks to fill the gap by providing empirical evidence on the impact of exchange rate changes.
eBook
Financial Integration: A New Methodology and an Illustration
This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically.
eBook
The Granger causality analysis of stocks based on clustering
In the research of the relationship between stocks, people tend to focus more on using the domestic or foreign indices to study the inter-national, inter-regional and inter-industry relations, but few people analyze and tap the connection between individual stocks directly. However, for investors, they are more willing to focus on individual stocks. Therefore, this paper selects part of the Shanghai A shares randomly and classifies the stocks to four sorts by K-means clustering to find the stocks which are similar in patterns. With the help of the Granger causality, the interrelationship of individual stocks by the rate of return are considered. The results show that there is one-way Granger causality between stocks which are similar in pattern, even though the two stocks do not belong to the same industry. This conclusion can give the stock market investors a certain decision support.
Journal Article
THE RELATIONSHIP BETWEEN EXCHANGE RATE VOLATILITY AND STOCK INDEX RETURN: EVIDENCE FROM TURKEY
Exchange rate fluctuations do not affect only the companies and individuals that engage in foreign currency-based transactions. As economic exposure features, even entities with no foreign currency assets and obligations are affected from the movements in exchange rates. Exchange rates, in fact, are closely related with several macroeconomic variables including stock prices and returns. Investigations into the relationship between exchange rate fluctuations and stock returns are widely observed among financial participants and academic circles. This study aims at exploring the link between exchange rate volatility and stock returns by investigating the US Dollar/Turkish Lira (USD/TRY) exchange rate volatility and Borsa Istanbul 100 Index (BIST-100) returns. In the study, 406 days of data for the period 11.03.2020-28.10.2021 were included in the analysis. Augmented Dickey-Fuller(ADF) unit root test was used to analyze the stationarity of the variables. As a result of the test, it is seen that the series arestationary at the I(0) level. After performing the stationarity test, ARMA(2,2) from linear stationary stochastic models and EGARCH(2,2) from general autoregressive conditional variable variance models were estimated to model exchange rate volatility. Then, Granger causality test was used to see if there is a relationship between exchange rate volatility and stock returns. The findings put forward the existence of bidirectional causality relationship between the variables. As the time span of the data period overlaps with the pandemic period, it appears that causality relationship obtained by the study is like the ones that held in the studies in the pre-pandemic period.
Journal Article