& P 500
S&P 500 returns revisited
... Under our framework, aggregate stock indices depend on real economic growth, and thus, on the population of a country-specific age. Before modeling the S&P 500 returns we would like to inspect raw data ...
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Forecasting S&P 500 Stock Index Using Statistical Learning Models
... S&P 500 is considered as one of the most important global financial in- ...S&P 500 may be influenced by other major financial indexes across the world, like FTSE 100, NIKKEI 225, SSE, ...
9
Investment Performance of Machine Learning: Analysis of S&P 500 Index
... In brief, conclusions can be elicited from results above that, firstly, the three machine learning models all exhibit better investment performance than the S&P 500 index in terms of higher excess ...
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Oil and S&P 500 Markets: Evidence from the Nonlinear Model
... Petroleum occupies an increasing share of the consumption of global energy resources, having already reached 38.5%. 1 Because the supply of petroleum is unable to meet the demand for it, and the reduction in the scale of ...
9
Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies
... S&P 500 during 2001-2012, the main purpose of this study is to search for the possibility of the sustainably profitable stocks by utilizing a nonlinear panel smooth transition regression (PSTR) ...
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Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing
... Calculations of a price bubble around the year 2000 can be referred as clearly identifying presence of a price bubble at the stock market (represented by the index S&P 500). Significant overvaluation is ...
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Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure
... The main empirical contribution of the paper is to show a clear effect of high-frequency downward price pressure as a driving force of S&P 500 index volatility over 1988–2006, and to demonstrate its use ...
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Are Mispricings Long Lasting or Short Lived? Evidence from S & P 500 Index ETF Options
... The dataset used in this study differs from prior literatures. Most existing stu- dies are based on the historical end-of-day mid prices of index options, retrieved from Option Metric database. The data used in this ...
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Short term Dependence in Time Series as an Index of Complexity: Example from the S&P 500 Index
... We use the grand Microsoft Excel Data set of closing prices of the S&P-500 Index, from January 3 rd , 1950 to Febru- ary 28 th , 2011, sampled at daily intervals, and expressed as an MfBm of Definition ...
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An Alternative Explanation for Stock Price Increases among the S&P 500 following a Stock Buyback Announcement
... Third, this study is limited to only the member firms of the S&P 500 Index, which is a widely followed broad-based market index that “tracks the total market value of 500 of the largest U.S. ...
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Link between S&P 500 and FTSE 100 and the comparison of that link before and after the S&P 500 peak in October 2007
... S&P 500. The S&P 500’s influence peaks at ...S&P 500’s influence slowly declines over the course of the observed period it remains the major influence on the FTSE ...
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The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... We use the Standard & Poor’s Depository Receipts S&P 500 exchange-traded fund (ETF), which is also known as SPY after its NYSE ticker symbol, to study the TOM effect in the broad US stock market. ...
8
Modelling of selected S&P 500 share prices
... S&P 500 list as related to ...S&P 500 list in order to prove that they can be quantitatively estimated at a several year horizon because the driving force behind the prices is ...
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Predictability of the daily high and low of the S&P 500 index
... The rolling regressions for predicting daily highs predict the correct sign of the trading-day-over-trading day growth in the high of S&P 500 index 78.2 percent of the time, over the period 1:3:2000 to ...
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Stock market efficiency in the S&P 500 with respect to day of the week
... According to the efficient market hypothesis, the stock market can be described as a random walk with drift. The drift will be positive as the stock market trends upward throughout time. Yet the only factor influencing ...
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Financial Bubble Detection : A Non Linear Method with Application to S&P 500
... Additionally, another equally important challenge for the econometric detection of bubbles is their dating, in the sense that an econometric test should be able to accurately date the bu[r] ...
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Essays on the Modelling of S&P 500 Volatility
... Chapter 1: Introduction to the Study ii To provide evidence that the in-sample performance of asymmetrical and symmetrical conditional volatility models are prone to the state of volatil[r] ...
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The instability of the correlation structure of the S&P 500
... Empirical studies of the relationship between market volatility and market correlations have shown that, in periods of high volatility, correlations between stock portfolio returns tend [r] ...
9
Exact prediction of S&P 500 returns
... The approximation of the number of 9-year-olds, N9t, is justified also by the excellent prediction of the SP500 returns, Rpt, for the period where monthly estimates are available, except[r] ...
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Investment Style Preference and its Effect Upon Performance of Tracking Portfolios
... & P 500 Index constituents was with each sample divided into 10 ...the P/B ratio, the procedure advertised by Fabozzi (1998, ...& P 500 Index constituents into value stocks ...
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