Volatility Indices are an important indicator for investors to accurately predict returns and risks in case of uncertainty the markets. In this study, effects gold, silver, oil volatility indices (GVI, SVI OVI) on both spot futures assets were investigated using VAR-EGARCH procedure. The findings study reveal that GVI gold prices have a positive effect prices. At same time, it has been determin...

The joint effect of the global economic and sovereign debt crisis forced European Central Bank (ECB) to apply conventional non-standard expansionary monetary policy interventions in order stabilize eurozone economies. We conducted a panel regression econometric analysis study influence euro area authority interventions, along with two main macroeconomic variables sentiment indicator, on market ...

This paper describes a production-based asset pricing model. It is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production-based model is ...

This paper investigates the relationship between accounting information and stock returns for TSE firms over the past 10 years. We construct a simple financial score designed to capture short-term changes in firm operating efficiency, profitability and financial policy. Our score exhibits a strong correlation with market-adjusted returns in the current fiscal period. The correlation remains sig...

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports...

W e present a method for forecasting sales using financial market information and test this method on annual data for US public retailers. Our method is motivated by the permanent income hypothesis in economics, which states that the amount of consumer spending and the mix of spending between discretionary and necessity items depend on the returns achieved on equity portfolios held by consumers...

This paper explores the impact of investor flows and financial market conditions on returns in crude-oil futures markets. I argue that informational frictions and the associated speculative activity may induce prices to drift away from “fundamental” values, and may result in booms and busts in prices. Particular attention is given to the interplay between imperfect information about real econom...

Fox, G., Roberts, B. and Brinkman, G.L., 1992. Canadian dairy policy and the returns to federal dairy cattle research. Agric. Econ., 6: 267-285 The economic surplus approach is used to estimate the returns to federal investments in dairy cattle research in Canada. A national supply function is estimated using time series data. Lagged research expenditures are included as explanatory variables i...

non-linear time series models have become fashionable tools to describe and forecast stock market returns in recent years. a significant amount of evidence supports a negative relationship between volume and future returns. this suggests that volume could act as a suitable threshold variable in lstar and tar models. in this research, we compared the forecasting ability of lsatr and tar models w...