Essays about: "Equity indices"

Showing result 26 - 30 of 78 essays containing the words Equity indices.

  1. 26. Cointegration between the Chinese and US stock markets

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Patrick Malm; [2018]
    Keywords : China; cointegration; stock market; time series; US; Business and Economics;

    Abstract : This paper conducts an empirical study on the relationship between the emerging financial market of China and the developed market of the US, both during and after the 2007-2009 financial crisis. Stock indices from the two countries are analysed to examine whether there exist any comovements between the different equity markets. READ MORE

  3. 27. International Volatility-Managed Equity Factors

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Ye; Gustav Österberg; [2018]
    Keywords : international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

    Abstract : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. READ MORE

  4. 28. Big Data Strategies - Worth the Hype?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ksenia Parviainen; [2018]
    Keywords : google; big data; stock market prediction; SVI;

    Abstract : This paper combines studies around investor attention, equity home bias puzzle and gradual diffusion of local information hypothesis. I study whether Google's Search Volume Index (SVI) has the ability to predict abnormal returns, volatility and liquidity on an industry level. READ MORE

  5. 29. Statistical Arbitrage Using Cross-Market Pairs Trading

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; [2018]
    Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE

  6. 30. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE