S: 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 ...
19
Forecasting S&P 500 Stock Index Using Statistical Learning Models
... In section 2, this paper calculates the correlation between different features and the moving directions of S&P 500. Due to the highest correlation between crude oil and the moving direction, it is the ...
9
Oil and S&P 500 Markets: Evidence from the Nonlinear Model
... the S&P500 index that simultaneously takes price and volume into consideration can better reflect the change in the overall value in of the ...the S&P 500 index have not resulted in ...
9
Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies
... from 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) ...
13
Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure
... Our data set is the U.S. Standard & Poor’s 500 stock index future, traded at the Chicago Mercantile Exchange (CME), for the period 1st of January, 1988 until May 31st, 2006. The data were obtained from Nexa ...
32
Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing
... Abstract. The paper focuses on the impact of money supply on the S&P 500 stock index. The main goal is by using selected indicators identify the bubble. That is meaning, according to the results bring ...
22
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 ...
12
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 ...
19
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. ...
10
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 ...
8
Modelling of selected S&P 500 share prices
... the S&P 500 list as related to ...the S&P ...from S&P 500 list in order to prove that they can be quantitatively estimated at a several year horizon because the driving ...
12
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
... the S&P 500 when it is processing shocks since October ...the S&P 500 drops by over twice as much as it did before the crisis, meaning that investors in the market react more strongly ...
13
The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... 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 ...
8
Predictability of the daily high and low of the S&P 500 index
... Ratios involving the current period opening price and the high or low price of the previous period are significant predictors of the current period high or low price for many stocks and stock indexes. This is illustrated ...
13
Essays on the Modelling of S&P 500 Volatility
... Copyright and reuse: City Research Online aims to make research outputs of City, University of London available to a wider audience. Copyright and Moral Rights remain with the author(s) and/or copyright holders. ...
311
Financial Bubble Detection : A Non Linear Method with Application to S&P 500
... The modeling process of bubbles, using advanced mathematical and econometric techniques, is a young field of research. In this context, significant model misspecification could result from ignoring potential non- ...
38
Stock market efficiency in the S&P 500 with respect to day of the week
... First, the returns of the S&P (close to close) were gathered for the twenty-five years from 1986 to 2011. I then forecasted three separate periods of three months each: before the financial crisis, 2006, ...
11
Download Download PDF
... top 500 most frequently searched terms. These 500 terms represent ...top 500 most common searches allow for considerable range in search frequency represented, with the 500 th most common ...
14
KDX-500 INSTALLATION
... Each port requires a 2-pair connection. The STU-A provides for connection of 8 analog keyphone sets. There is an LED (Red) for each port to indicate the status of that port. ON means the port is in use. (the station is ...
50
Investment Style Preference and its Effect Upon Performance of Tracking Portfolios
... effective S & P 500 Index constituents was with each sample divided into 10 ...the S & P 500 Index constituents into value stocks (“V”) and growth stocks ...the S & P ...
13