Asymmetric return patterns: evidence from 33 international stock market indices

Twm Evans; David G. McMillan

首页> 外文期刊>Applied Financial Economics Letters >Asymmetric return patterns: evidence from 33 international stock market indices

【24h】

Asymmetric return patterns: evidence from 33 international stock market indices

机译：不对称回报模式：来自33个国际股市指数的证据

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Recent evidence has suggested an asymmetric effect in US equity return dynamics on the basis of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding periods. The results of this analysis may be of interest to those engaged in both technical trading and portfolio management. Our results support asymmetric return patterns for all stock markets and on the two definitions of return continuations. Further, we also identify that consecutive positive return days exhibit greater persistence than consecutive negative return days. Finally, using the holding-period definition we also identify whether longer holding periods are always associated with increased returns. Evidence whilst generally supportive is not ubiquitous, furthermore, the majority of the increase in returns occurs over a holding period of 7-10 days, with more limited increases over the remainder of the 45-day holding-period considered. This latter result may be of particular importance to those engaged in portfolio building.

机译：最近的证据表明，在连续正收益或负收益或持有日的基础上，美国股票收益动态不对称。本说明通过考虑33种国际股票指数以及更长的连续交易日和持有期来扩展该分析。从事技术交易和投资组合管理的人士可能会对这种分析的结果感兴趣。我们的结果支持所有股票市场的非对称收益模式以及收益连续性的两种定义。此外，我们还确定，连续的正回报日比连续的负回报日表现出更大的持久性。最后，使用持有期限定义，我们还可以确定较长的持有期限是否总是与增加的收益相关联。尽管通常没有支持的证据，但回报率的增加大部分发生在7-10天的持有期内，而在其余45天的持有期内，收益的增加较为有限。后一个结果对于从事投资组合建立的人可能特别重要。

著录项

来源
《Applied Financial Economics Letters》 |2009年第9期|775-779|共5页
作者
Twm Evans; David G. McMillan;
展开▼
作者单位

School of Business & Economics, University of Wales, Swansea, Singleton Park, Swansea, SA2 8PP, UK;

School of Management, University of St Andrews, The Gateway, North Haugh, St Andrews, KY16 9SS, UK;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词

相似文献

外文文献
中文文献
专利

1. Asymmetric return patterns: evidence from 33 international stock market indices [J] . Twm Evans, David G. McMillan Applied Economics Letters . 2009,第8期

机译：不对称回报模式：来自33个国际股市指数的证据
2. Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets [J] . Jalaj Pathak, Soumya G. Deb Cogent Economics & Finance . 2020,第1期

机译：暗示波动索引和股票市场的程式化模式回报：跨发达和新兴市场的跨国分析
3. An asymmetric and DCC analysis of two stock markets returns＇ volatility： An evidence study on the Hong Kong and Japan＇s stock markets [J] . HORNG Wann-Jyi, HUANG Ming-Chi 美中经济评论：英文版 . 2009,第006期

机译：两个股票市场收益率波动的非对称和DCC分析：对香港和日本股票市场的证据研究
4. An Asymmetric and DCC Analysis of Two Stock Markets Return: An Evidence Study of the U.S. and the Canada's Stock Markets [C] . International Conference on New Trends in Information and Service Science . 2009

机译：两个股票市场的不对称和DCC分析返回：美国和加拿大股市的证据研究
5. The risks of investing in emerging markets: Essay I. The role of insider ownership: An international perspective. Essay II. Conditional risk premiums of Asian real estate stocks. Essay III. The risk and return of emerging markets property stock indices. [D] . Hu, Jiawei. 2000

机译：投资新兴市场的风险：论文一。内部人所有权的作用：国际视角。论文二。亚洲房地产股票的有条件风险溢价。论文三。新兴市场房地产股指的风险和回报。
6. Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model [O] . Muhammad Kamran Khan, Jian-Zhou Teng, Muhammad Imran Khan -1

机译：油价对上海证券交易所股票收益的不对称影响：来自非对称ARDL模型的证据
7. Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. Consistent with the flu affecting institutional investors and market-makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns. [O] . Yiuman Tse, Brian C. McTier, John K. Wald 100

机译：股市是否会引发流感？我们研究了流感对美国股市的影响。流感发病率较高与交易减少，波动性降低和买卖差价较高有关。我们还发现一些证据表明，更多流感意味着股票收益率下降与影响机构投资者和做市商的流感一致，交易活动和波动性的下降主要是由于纽约市大区的流感发病率所致。然而，流感对买卖差价和回报的影响是由全国流感的发生率所驱动的。我们提供了大流行对股权回报的潜在影响的估计。

Asymmetric return patterns: evidence from 33 international stock market indices

摘要

著录项

相似文献

相关主题

期刊订阅