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...

The ability to make prediction based on online searches in various contexts is gaining substantial interest in both research and practice. This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply chain relationship and if information related to both firms diffuse...

This article investigates the extent to which condominium apartment prices in Vancouver, British Columbia are set in an efficient asset market. The empirical results provide strong evidence against market efficiency. A number of instruments, including lagged annual returns and a measure of the deviation of price from fundamental or intrinsic value, to some extent predict future returns. This su...

This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply-chain relationship and if information related to both firms diffuses in the market slowly (rapidly), then our ability to predict stock returns increases (vanishes). Using supply-chain data and weekly co-sea...

Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news. As a result, we assume that European stock market returns are affected by endogenous and exogenous ...

Volunteer role identity is regarded the direct and proximal cause of sustained volunteerism. Self-determination theory suggests that the quality of motivation greatly affects performance and well-being in various contexts. Therefore, this study investigated cross-lagged effects (over a time period of 16 months) between self-determined and controlled motivation, on the one hand, and two types of...

We provide empirical evidence within the context of cryptocurrency markets that returns from liquidity provision, proxied by a short-term reversal strategy, are primarily concentrated in trading pairs with lower levels market activity. Empirically, we focus on moderately large cross section traded against U.S. Dollar March 1, 2017 to 2022 multiple centralised exchanges. Our findings suggest exp...

This paper provides a simple unified framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, the correlation between return and...

Beta is found to be a function of several leading economic indicators and government policy variables within the context of the Variable Beta Model which incorporates economic characteristics in the single index model in a multiplicative manner. When contemporaneous macroeconomic descriptors are replaced with reporting-period-lagged macroeconomic descriptors, in the Lagged Variable Beta Model, ...