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Journal articles on the topic 'Daily market'

Author: Grafiati

Published: 4 June 2021

Last updated: 4 February 2022

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1

Petroni, Filippo, and Maurizio Serva. "Observability of market daily volatility." Physica A: Statistical Mechanics and its Applications 444 (February 2016): 838–42. http://dx.doi.org/10.1016/j.physa.2015.10.085.

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2

Chaffai, Mustapha, and Imed Medhioub. "Herding behavior in Islamic GCC stock market: a daily analysis." International Journal of Islamic and Middle Eastern Finance and Management 11, no. 2 (2018): 182–93. http://dx.doi.org/10.1108/imefm-08-2017-0220.

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Purpose This paper aims to examine the presence of herd behaviour in the Islamic Gulf Cooperation Council (GCC) stock markets following the methodology given by Chiang and Zheng (2010). Generalized auto regressive conditional heteroskedasticity (GARCH)-type models and quantile regression analysis are used and applied to daily data ranging from 3 January 2010 to 28 July 2016. Results show evidence of herd behaviour in the GCC stock markets. When the data are divided into down and up market periods, herd information is found to be statistically significant and negative during upward market perio

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3

Hamilton, James D. "The Daily Market for Federal Funds." Journal of Political Economy 104, no. 1 (1996): 26–56. http://dx.doi.org/10.1086/262016.

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4

Turner, Andrew L., and Eric J. Weigel. "Daily Stock Market Volatility: 1928–1989." Management Science 38, no. 11 (1992): 1586–609. http://dx.doi.org/10.1287/mnsc.38.11.1586.

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5

Jarrett, Jeffrey E., and Eric Kyper. "Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns." Management Research News 28, no. 8 (2005): 34–47. http://dx.doi.org/10.1108/01409170510784940.

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6

Derbali, Abdelkader. "Market efficiency in the emerging and frontier markets of the MENA countries." International Journal of Financial Engineering 06, no. 03 (2019): 1950030. http://dx.doi.org/10.1142/s2424786319500300.

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Daily and weekly market index returns were analyzed to examine market efficiency in emerging and frontier markets in MENA region. Based on a set of tests, autocorrelation, runs, unit root and multiple variance report tests, over a period of 7 years, our results show mixed results for different indices. However, emerging and frontier market and yield series indicate the lack of market efficiency. We find that daily and weekly market index returns do not follow random markets. We can conclude that investors can obtain the flow of arbitrage profits due to the inefficiency of the market belonging

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7

van Kranenburg, Hans. "Mobility and Market Structure in the Dutch Daily Newspaper Market Segments." Journal of Media Economics 15, no. 2 (2002): 107–23. http://dx.doi.org/10.1207/s15327736me1502_3.

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8

Gil-Alana, L. A. "Fractional integration in daily stock market indexes." Review of Financial Economics 15, no. 1 (2006): 28–48. http://dx.doi.org/10.1016/j.rfe.2005.02.003.

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9

Özcan, Gül Berna. "Introduction: market adaptations, interventions and daily experience." Central Asian Survey 34, no. 4 (2015): 409–17. http://dx.doi.org/10.1080/02634937.2015.1103580.

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Allen, David E., Michael McAleer, and Abhay K. Singh. "Daily market news sentiment and stock prices." Applied Economics 51, no. 30 (2019): 3212–35. http://dx.doi.org/10.1080/00036846.2018.1564115.

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11

Lacy, Stephen, and Lucinda Davenport. "Daily Newspaper Market Structure, Concentration, and Competition." Journal of Media Economics 7, no. 3 (1994): 33–46. http://dx.doi.org/10.1207/s15327736me0703_3.

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12

Chen, Ting, Zhenyu Gao, Jibao He, Wenxi Jiang, and Wei Xiong. "Daily price limits and destructive market behavior." Journal of Econometrics 208, no. 1 (2019): 249–64. http://dx.doi.org/10.1016/j.jeconom.2018.09.014.

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13

AJEWOLE, KAYODE, TED C. SCHROEDER, and JOE PARCELL. "PRICE REPORTING IN A THIN MARKET." Journal of Agricultural and Applied Economics 48, no. 4 (2016): 345–65. http://dx.doi.org/10.1017/aae.2016.19.

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AbstractThin markets create challenges for reporting market information by the U.S. Department of Agriculture (USDA) and for users of the information. This study examines distributions of transactions comprising daily price reports in the U.S. hog market. We determine publicly reported daily prices are sensitive to which packing plants buy hogs. Transaction prices comprising USDA Agricultural Marketing Service price reports are not normally distributed; care must be taken in reporting and interpreting transaction prices. Economically important variations in prices occur because of packer-speci

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14

Hiris, Lorene S. "A Daily Inflation Index." American Economist 36, no. 2 (1992): 19–29. http://dx.doi.org/10.1177/056943459203600203.

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A index that closely approximates the rate of inflation in consumer prices has been constructed from eight components that are available daily. The index has been compiled monthly from January 1968 through June 1990, with the results shown in Figure 1. The Daily Inflation Index includes the prices of foods, textiles, metals and oil as quoted in the commodity markets and also an index of dollar exchange rates, the Treasury bill rate, a price index for utility stocks, and the price of gold. The index accounts for 84 percent of the variation in the CPI inflation rate from 1968 to 1990 and is expe

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15

RABHI, Ayoub. "Stock Market Vulnerability to the COVID-19 Pandemic: Evidence from Emerging Asian Stock Market." Journal of Advanced Studies in Finance 11, no. 2 (2020): 126. http://dx.doi.org/10.14505//jasf.v11.2(22).06.

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This paper studies empirically the emerging Asian stock market vulnerability to pandemics. Taking the Covid-19 virus as a case study, we used the ARDL panel data approach to investigate the impact of the daily Covid-19 confirmed cases along with a behavioral component based on a triggering fear event related to news about Covid-19 deaths. The results indicate that both the reported daily growth of Covid-19 confirmed cases along with the triggering fear event related to news about death, affected the Asian stock markets performance negatively, other variables such as oil price, gold price, exch

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Plastun, Alex, Nataliya Strochenko, Olga Zhmaylova, Liudmyla Sliusareva, and Sergiy Bashlay. "Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions." Investment Management and Financial Innovations 17, no. 1 (2020): 24–34. http://dx.doi.org/10.21511/imfi.17(1).2020.03.

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This paper examines momentum and contrarian effects in the Ukrainian stock market after one-day abnormal returns. To do this, UX futures data over the period 2010–2018 are used. The following hypotheses are tested: H1) hourly returns on overreaction days differ from hourly returns on normal days, H2) there are price patterns on overreaction days, and H3) to test these hypotheses, visual inspection and average analysis are used, as well as t-tests, cumulative abnormal returns, and trading simulation approaches. The results suggest that there are statistically significant differences between int

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17

Jarrett, Jeffrey E., and Janne Schilling. "DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)." Journal of Business Economics and Management 9, no. 3 (2008): 189–98. http://dx.doi.org/10.3846/1611-1699.2008.9.189-198.

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In this article we test the random walk hypothesis in the German daily stock prices by means of a unit root test and the development of an ARIMA model for prediction. The results show that the time series of daily stock returns for a stratified random sample of German firms listed on the stock exchange of Frankfurt exhibit unit roots. Also, we find that one may predict changes in the returns to these listed stocks. These time series exhibit properties which are forecast able and provide the intelligent data analysts’ methods to better predict the directive of individual stock returns for liste

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Thi Van Trang, Do, and Dinh Hong Linh. "The impact of earnings management on market liquidity." Investment Management and Financial Innovations 17, no. 2 (2020): 389–96. http://dx.doi.org/10.21511/imfi.17(2).2020.30.

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This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that marke

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19

Adamiec, Larissa J., and Deborah Cernauskas. "Contrasting GARCH Daily Variance Predictions Between Foreign Exchange Returns and Carry Trade Strategy Returns." Journal of Business and Economics 10, no. 11 (2019): 1027–44. http://dx.doi.org/10.15341/jbe(2155-7950)/11.10.2019/001.

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GARCH does a better job predicting carry trade strategy returns than the foreign exchange returns. Using two time periods from 1998-2010 and then from 2010-2018 we find the daily variance to have dropped between period 1 and period 2 for both daily foreign exchange spot prices and daily carry trade strategy returns. Comparing daily spot price returns to daily carry trade strategy returns in each time period we find differences in the sample variances. Daily variance in the foreign exchange market has changed within the last twenty years. As one of the most liquid markets, the FX market has see

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20

Bu, Qiang. "Mutual fund alpha and daily market-timing ability." Studies in Economics and Finance 36, no. 4 (2019): 662–81. http://dx.doi.org/10.1108/sef-09-2018-0277.

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Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that

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21

HARADA, MASAMI. "Japanese modern municipal retail and wholesale markets in comparison with European markets." Urban History 43, no. 3 (2015): 476–92. http://dx.doi.org/10.1017/s096392681500019x.

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ABSTRACTThis article seeks to assess the relevance of market ideas outside the European context. In pre-modern Japan, there was neither street market nor retail market but wholesale markets in cities. Feudal lords permitted wholesale dealers to operate in the market as long as the dealers paid either tribute such as fish or tax money to their lords. The Meiji Restoration in the late nineteenth century brought an end to the feudal system. In modern Japan, the problem of food supply in the city arose after the Japanese-Russo War. The Rice Riots broke out in 1918, and drove many cities to open th

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22

Bejaoui, Azza, Salim Ben Sassi, and Jihed Majdoub. "Market dynamics, cyclical patterns and market states." Studies in Economics and Finance 37, no. 4 (2019): 585–604. http://dx.doi.org/10.1108/sef-08-2019-0302.

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Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns. Findings All the cryptocurrency markets show regime switching in the return-generating

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23

Feinman, Joshua. "Estimating the Open Market Desk's Daily Reaction Function." Journal of Money, Credit and Banking 25, no. 2 (1993): 231. http://dx.doi.org/10.2307/2077839.

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24

PeÑa, J. Ignacio. "Daily seasonalities and stock market reforms in Spain." Applied Financial Economics 5, no. 6 (1995): 419–23. http://dx.doi.org/10.1080/758538601.

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25

Ajinkya, Bipin B., and Prem C. Jain. "The behavior of daily stock market trading volume." Journal of Accounting and Economics 11, no. 4 (1989): 331–59. http://dx.doi.org/10.1016/0165-4101(89)90018-9.

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26

Zhong, Xiao, and David Enke. "Forecasting daily stock market return using dimensionality reduction." Expert Systems with Applications 67 (January 2017): 126–39. http://dx.doi.org/10.1016/j.eswa.2016.09.027.

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27

Njuguna, Josephine. "The market efficiency of the Tanzania stock market." Banks and Bank Systems 11, no. 3 (2016): 75–86. http://dx.doi.org/10.21511/bbs.11(3).2016.08.

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The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root te

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28

Fu, Junhui, Qingling Zhou, Yufang Liu, and Xiang Wu. "Predicting stock market crises using daily stock market valuation and investor sentiment indicators." North American Journal of Economics and Finance 51 (January 2020): 100905. http://dx.doi.org/10.1016/j.najef.2019.01.002.

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29

Brown, Jeff E., Don E. Ethridge, Darren Hudson, and Carlos Engels. "An Automated Econometric Approach for Estimating and Reporting Daily Cotton Market Prices." Journal of Agricultural and Applied Economics 27, no. 2 (1995): 409–22. http://dx.doi.org/10.1017/s1074070800028467.

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AbstractAn automated price reporting system developed through computer technology and hedonic price theory is used to estimate daily cotton market prices, premiums, and discounts. This objective approach for reporting cotton market prices was developed to complement the objective measures of high volume instrument grading of cotton. The computerized, econometric system is limited to the Texas and Oklahoma marketing regions where sales are readily available from electronic markets. The econometric based system has shown all the characteristics of an efficient price reporting system; it is accur

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30

Kurniawan, Yoki, and Rahmat Al Hidayat. "OPTIMIZATION OF KOTO JAYA DAILY MARKET PRODUCTION IN MUKOMUKO." BIMA Journal (Business, Management, & Accounting Journal) 1, no. 1 (2020): 10–21. http://dx.doi.org/10.37638/bima.1.1.10-21.

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This study aims to identify internal and external factors faced by the Koto Jaya Daily Market in Mukomuko, determine the optimization strategy of the market utilization. The data used in this study are primary data obtained from traders at the Koto Jaya Daily Market in Mukomuko in 2018 using a SWOT analysis tool.The results of the SWOT analysis can be concluded that internal factors in optimizing the utilization of the Koto Jaya Daily Market in Mukomuko are; 1) Strength Factors (land availability, location, supporting facilities, trader organizations, merchant composition, infrastructure, pric

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31

Millman, Heather. "Daily Dose." Gastronomica 13, no. 4 (2013): 16–21. http://dx.doi.org/10.1525/gfc.2013.13.4.16.

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This article explores the custom of drinking traditional maté teas in Asunción, Paraguay. My discussion is founded in fieldwork completed throughout Paraguay’s winter months from June to September 2011. Maté is a tea-like infusion of the yerba maté plant, which is indigenous to Paraguay and the surrounding region. This article takes an anthropological approach to maté drinking, and includes the perspectives of the market vendors who sell plant infusions for this tea, and with whom I conducted interviews during my fieldwork. In doing so, I position maté drinking in the contexts of both custom a

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32

MOLLAH, A. SABUR. "TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE." International Journal of Theoretical and Applied Finance 10, no. 06 (2007): 1077–94. http://dx.doi.org/10.1142/s021902490700455x.

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Market efficiency is an area of enormous interest in financial literature. Numerous researchers conducted empirical studies in testing weak-form market efficiency in several stock markets and employed various techniques but the empirical evidence is controversial. Triangulation econometric approach is employed to assess the predictability of daily return series of Botswana Stock Exchange (BSE) and to test the null hypothesis of random walk model. The empirical results reject the null hypothesis of random walk model for the daily return series of BSE for the period of 1989–2005 and evidenced se

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33

Roy, Subrata. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis." Foreign Trade Review 53, no. 4 (2018): 225–38. http://dx.doi.org/10.1177/0015732518797183.

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The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on vario

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34

Sarma, S. N. "Stock Market Seasonality in an Emerging Market." Vikalpa: The Journal for Decision Makers 29, no. 3 (2004): 35–42. http://dx.doi.org/10.1177/0256090920040303.

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The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric te

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35

Mustafav, Khalid, and Mohammedv Nishat. "Testing for Market Efficiency in Emerging Markets: A Case Study of the Karachi Stock Market." LAHORE JOURNAL OF ECONOMICS 12, no. 1 (2007): 119–40. http://dx.doi.org/10.35536/lje.2007.v12.i1.a6.

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This paper investigates the efficiency of the Karachi stock exchange (KSE) with corrections for thin trading and non-linearity as suggested by Miller, Muthuswamy and Whaley (1994). Daily, weekly, and monthly data on stock prices from December 1991 to May 2003 have been used, with three non-overlapping periods (December 1991 to May 1998; May 1998 to September 2001; and September 2001 to May 2003) and one combined period (May 1998 to May 2003). The results indicate that the Karachi Stock Market is efficient for the overall period, the three sub-periods, and the combined period in linear and non-

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36

Fan, Ying. "Ownership Consolidation and Product Characteristics: A Study of the US Daily Newspaper Market." American Economic Review 103, no. 5 (2013): 1598–628. http://dx.doi.org/10.1257/aer.103.5.1598.

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This paper develops a structural model of newspaper markets to analyze the effects of ownership consolidation, taking into account not only firms' price adjustments but also the adjustments in newspaper characteristics. A new dataset on newspaper prices and characteristics is used to estimate the model. The paper then simulates the effect of a merger in the Minneapolis newspaper market and studies how welfare effects of mergers vary with market characteristics. It finds that ignoring adjustments of product characteristics causes substantial differences in estimated effects of mergers. (JEL G32

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37

Fajarwati, Eka. "STRATEGI PERMODALAN PEDANGAN PASAR SOPONYONO DI KECAMATAN RUNGKUT KOTA SURABAYA." MANAJERIAL 4, no. 1 (2018): 69. http://dx.doi.org/10.30587/manajerial.v4i1.308.

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The market is generally divided into two, namely traditional markets and modern markets. Traditional market is a market that has a simple buying and selling activities, there is a bargain with a means of payment in the form of cash. In addition, the market is not only a place for the community in meeting the daily needs, but also the center of the community's economic drive. Traditional market is an important channel in the distribution process of agribusiness products as big as food product of daily necessities. The competition of traditional markets and modern markets is getting tighter. The

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38

Carpenter, Seth B., and Selva Demiralp. "The Liquidity Effect in the Federal Funds Market : Evidence from Daily Open Market Operations." Finance and Economics Discussion Series 2004, no. 61 (2004): 1–36. http://dx.doi.org/10.17016/feds.2004.61.

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39

Carpenter, Seth B., and Selva Demiralp. "The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations." Journal of Money, Credit, and Banking 38, no. 4 (2006): 901–20. http://dx.doi.org/10.1353/mcb.2006.0051.

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40

Kang, Jangkoo, and Jaesun Yun. "Daily Winners and Losers in the Korean Stock Market." Korean Journal of Financial Studies 49, no. 4 (2020): 565–88. http://dx.doi.org/10.26845/kjfs.2020.08.49.4.565.

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In their working paper, Kumar, Ruenzi, and Ungeheuer (KRU) document that stocks ranked as daily winners or losers in the previous month underperform unranked stocks during the month after the ranking. KRU explain that the ranked stocks experience a large increase in investor attention, which leads to temporary overpricing and subsequent underperformance. Following KRU, we investigate whether the same effect exists in the Korean stock market and find a robust daily winners and losers effect. First, stocks that were both daily winners and losers in a given month underperform those that were neit

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41

D’Amico, Guglielmo, Fulvio Gismondi, Filippo Petroni, and Flavio Prattico. "Stock market daily volatility and information measures of predictability." Physica A: Statistical Mechanics and its Applications 518 (March 2019): 22–29. http://dx.doi.org/10.1016/j.physa.2018.11.049.

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42

Drousia, Angeliki, Athanasios Episcopos, and George N. Leledakis. "Market reaction to actual daily share repurchases in Greece." Quarterly Review of Economics and Finance 74 (November 2019): 267–77. http://dx.doi.org/10.1016/j.qref.2019.01.007.

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43

Bajpai, Shweta, and Alok Dixit. "Daily beta adjustment: evidence from the Indian equity market." International Journal of Indian Culture and Business Management 15, no. 2 (2017): 121. http://dx.doi.org/10.1504/ijicbm.2017.086085.

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44

Dixit, Alok, and Shweta Bajpai. "Daily beta adjustment: evidence from the Indian equity market." International Journal of Indian Culture and Business Management 15, no. 2 (2017): 121. http://dx.doi.org/10.1504/ijicbm.2017.10007225.

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45

Jarrett, Jeffrey E., and Eric Kyper. "Capital market efficiency and the predictability of daily returns." Applied Economics 38, no. 6 (2006): 631–36. http://dx.doi.org/10.1080/00036840600581422.

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46

Ma, Christopher K., G. Wenchi Wong, and Edwin D. Maberly. "The daily effect in the gold market: A reply." Journal of Futures Markets 9, no. 2 (1989): 175–77. http://dx.doi.org/10.1002/fut.3990090210.

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47

Sariannidis, Nikolaos. "Daily price and volatility behaviour in soybean oil market." International Journal of Society Systems Science 3, no. 1/2 (2011): 174. http://dx.doi.org/10.1504/ijsss.2011.038939.

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48

Coleman, Mark. "Cointegration-based tests of daily foreign exchange market efficiency." Economics Letters 32, no. 1 (1990): 53–59. http://dx.doi.org/10.1016/0165-1765(90)90049-7.

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49

Dittrich, Ludwig O., and Pavel Srbek. "Long-Range Dependence in Daily Return Stock Market Series." International Advances in Economic Research 24, no. 3 (2018): 285–86. http://dx.doi.org/10.1007/s11294-018-9687-7.

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50

Bojnec, Štefan, and Alan Križaj. "Electricity Markets during the Liberalization: The Case of a European Union Country." Energies 14, no. 14 (2021): 4317. http://dx.doi.org/10.3390/en14144317.

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This paper analyzes electricity markets in Slovenia during the specific period of market deregulation and price liberalization. The drivers of electricity prices and electricity consumption are investigated. The Slovenian electricity markets are analyzed in relation with the European Energy Exchange (EEX) market. Associations between electricity prices on the one hand, and primary energy prices, variation in air temperature, daily maximum electricity power, and cross-border grid prices on the other hand, are analyzed separately for industrial and household consumers. Monthly data are used in a

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