Mattia Zorzi (2025).International daily stock return data for System Identification(https://www.mathworks.com/matlabcentral/fileexchange/48611-international-daily-stock-return-data-for-system-identification), MATLAB Central File Exchange. 검색 날짜:2025/1/23. ...
stockmarketIn this paper, we study day-of-the-week effects in stock returns across different industry sectors in the New Zealand market. Unlike other studies on this market, we examine weekday seasonality using daily stock return data of four market indexes and 16 industry sectors for the ...
ascol is the program name,logRiis the stock return variable in our data set,toweekis the program option that tells Stata to convert daily data to weekly frequency, and the returns(log) option tells Stata that ourlogRivariable has log stock returns. Therefore ascol will just sum ...
In this paper, Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures daily return data examined the correlation between the two and related structures. First of all return series to establish the edge distribution model, found that GARCH (1,1) model to better ...
This study examined the behavior of stock price variability over trading and nontrading periods, and daily return volatility. This study used intraday data in Indonesia Stock Exchange. Sample was taken from the firms listed in LQ 45 indexes for the year of 1999-2006. The behavior of stock pric...
Mutual fund performance – Market timing – Stock selectionUsing daily return data from 448 actively managed mutual funds over a recent 9-year ... BM Jochec - 《Annals of Finance》 被引量: 15发表: 2011年 SELECTED MULTIFACTOR MARKET-TIMING MODELS FOR MUTUAL FUND PERFORMANCE EVALUATION (Ocena ...
With the development of Internet technology,using data mining techniques can not only construct and measure high-frequency emotional indicators of investors,but also help in-depth study of the intrinsic linkage between investor sentiment and stock market operations. The paper selects a total of 2 198...
Freund, A. Iseri, A data analytic approach to forecasting daily stock returns in an emerging market, European Journal of Operational Research 253 (3) (2016) 697-710.Oztekin A., Kizilaslan R., Freund S., Iseri A., "A data analytic approach to forecasting daily stock returns in an ...
Return data for the month is shown below: Dividend Kings November 2024 total return: 6.63% SPY November 2024 total return: 5.96% Stable dividend growers like the Dividend Kings tend to underperform in bull markets and outperform on a relative basis during bear markets. The Dividend Kings are ...
Empirical Identification of Non-Informational Trades Using Trading Volume Data Regarding the trading volume-serial correlation in the stock returns relationship, we find evidence that is consistent with theoretical predictions that non-... BS Lee,OM Rui - 《Review of Quantitative Finance & Accounting》...