S&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 ...
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Are Mispricings Long Lasting or Short Lived? Evidence from S & P 500 Index ETF Options
... of S & P 500 index ETF options, this paper provides evidences that most viola- tions of the stochastic dominance bounds last no more than 10 trading ...
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An Alternative Explanation for Stock Price Increases among the S&P 500 following a Stock Buyback Announcement
... There are several limitations to this research. First, this paper studied only open-market stock buybacks, since Lightner found that greater than 90% of all stock repurchases use the open-market method (2008). Second, ...
10
Short term Dependence in Time Series as an Index of Complexity: Example from the S&P 500 Index
... 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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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
... This comparative analysis will be conducted by sub-sample “moneyness/time-to-expiration” instead of testing the performance of the three models for the entire sample as a single compact component. Such an approach should ...
12
Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure
... the S&P 500 index tick data over 1988–2006, taking into account the downward absolute power variation yields a model that achieves a value R 2 ≈ ...
32
Financial Bubble Detection : A Non Linear Method with Application to S&P 500
... According to Kindleberger (1978) a bubble is defined as “an upward price movement over an extended range that then implodes”. Brunnermeier (2009) argued that bubbles “are typically associated with dramatic asset price ...
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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 ...
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Price Deviations of S&P 500 Index Options from the Black Scholes Formula Follow a Simple Pattern
... This paper presents a new approach for describing the differences between actual option prices and their Black-Scholes values (computed with the same volatility for different strikes), which we term the price deviation ...
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Assessing the Entropies of the Feigenbaum Strange Attractor and the S&P 500 Index as Factors Driving the Production of Information in Market Economies
... It is worth repeating at this juncture what we have said above. In the history of science, for example, concepts and narratives arise from the dominant paradigm, but the dominant paradigm may eventually be supplanted by ...
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Using Equity Duration In Pension Fund Asset Allocation Introducing a new data series: The 30-year history of duration for the S&P 500
... We adopt the approach suggested by equation 10 to evaluate duration of the U.S. equity market. We take quarterly dividend growth of the S&P 500 for g. For k, we choose to use the Moody’s Baa ...
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Time Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E Mini Futures Markets
... Parameter estimates are obtained through maximum likelihood estimation (MLE) based upon the probability density function (PDF) of innovations 𝜀 𝑡 . 𝜀 𝑡 is assumed to follow a bivariate skewed Student ’ s t ...
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Could Noise Spectra of Strange Attractors Better Explained Wealth and Income Inequalities? Evidence from the S&P 500 Index
... the S&P-500 from January 3 rd 1961 to February 28 th , sampled at daily intervals, and expressed as a Mixed Fractional Brownian Motion ((MfBm), see Appendix A), assuming its ...
16
Mixed fractional Brownian motion, short and long term Dependence and economic conditions: the case of the S&P 500 Index
... the S&P-500 Index which, it is recalled, is a market-value-weighted index of stock prices times the number of shares outstanding in which each stock weight is proportional to its market ...
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Co Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time frequency (Wavelets) Analysis
... Aguiar-Conraria et al. (2008) have pointed out the two very important features of the wavelets analysis. First, the (discrete) wavelet transform has often been applied in the in most of the economic applications as a low ...
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A Quantitative Analysis of Integrated Reporting via CAGR on Publicly Traded U S Corporations Listed in the S & P 500
... Drilling into the data and findings generated by this research study, it does not appear that any of the specific organizations analyzed as a part of this re- search outperformed the S & P 500 ...
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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
... the S&P 500. The S&P 500’s influence peaks at ...the S&P 500’s influence slowly declines over the course of the observed period it ...
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The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... the S&P 500 index fund SPY, we find that the SPY prices advance on days leading to the turn of the month starting from day -4, which is earlier than the day -1 that is documented in the TOM ...
8
Modelling of selected S&P 500 share prices
... selected S&P 500 companies have been accurately approximated by linear functions of the difference between core CPI and subsets of the CPI in the United ...
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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 ...
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