Publication:
On meteor showers in stock markets

dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2008-08-13T08:41:53Z
dc.date.available2008-08-13T08:41:53Z
dc.date.issued1991-03
dc.description.abstractThe relationship between the Dow-Jones Index returns and Madrid Stock Index returns is observed. Using daily data for the period 1988-1989 significant effect are found, being the Dow-Jones Index returns a leading indicator for Madrid returns condicional mean. The effects are asymmetric: negative changes in the Dow-Jones Index returns have twice the effect than positive ones; and nonlinear as the influence of Black Friday, October 13, 1989 suggests. The "meteor shower" effects between boths markets volatilities is documented. Daily traing volume has some explanatory power for the conditional variance of daily returns. Day of the weeks effects are examined and it is found that the average return on Thursday is abnormally high.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/2793
dc.language.isoeng
dc.relation.hasversionhttp://e-archivo.uc3m.es/handle/10016/13825
dc.relation.ispartofseriesWorking Papers
dc.relation.ispartofseries1991-09
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.otherGARCH Models
dc.subject.otherAsymmetric and non linear effects
dc.subject.otherStock Index
dc.subject.otherTrading Volume
dc.subject.other"Meteor Showers" effect
dc.titleOn meteor showers in stock markets
dc.typeworking paper*
dspace.entity.typePublication
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