Bad news and Dow Jones make the Spanish stocks go round

Blasco, Natividad; Corredor, Pilar; Rio, Cristina Del

doi:10.1016/j.ejor.2004.01.001

Cited by 27 publications

(15 citation statements)

References 31 publications

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“…In the era of Web 2.0, user-contributed information on the Web has been regarded as a valuable resource to analyze social or economic hotspots such as the financial market [2,17,28]. A kind of user-contributed data of the Social Web, namely search engine query data, was applied to detect influenza epidemics [10,33] and predict unemployment rate [1].…”

Section: Introductionmentioning

confidence: 99%

An ontology-based Web mining method for unemployment rate prediction

Zhang

et al. 2014

Decision Support Systems

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Section: Introductionmentioning

confidence: 99%

An ontology-based Web mining method for unemployment rate prediction

Zhang

et al. 2014

Decision Support Systems

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“…17 Thus, it appears that bad news on the market is accepted as being accurate, while good news is treated with more caution. This asymmetric reaction to news is also described in other papers (see Nofsinger and Prucyk, 2003 for the US options market or Blasco et al, 2002Blasco et al, , 2005 for the Spanish stock market).…”

Section: Options Volume and Response To Newsmentioning

confidence: 67%

“…This database contains a total of 665 news items published in the Spanish financial press. The data for the first subperiod of this database (1997)(1998) have been used in other studies on the impact of news on stock market prices (see Blasco et al, 2002Blasco et al, , 2005. Each news item is classed as good or bad depending on the qualitative assessment suggested in the financial press.…”

Section: The Database and Variables For Informed Tradingmentioning

confidence: 99%

Does informed trading occur in the options market? Some revealing clues

Blasco

Corredor

2010

Accounting & Finance

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This paper analyses the relationship between proxy variables for informed trading in the options market and a set of exogenous news variables. The aim was to test directly for the presence or absence of informed trading in the options market and for the possible impact of this trading on underlying asset prices. Our findings reveal that potential informed trading in options markets is channelled basically through out-of-the-money options, except for volatility trading which mainly involves at-the-money options because of their liquidity. In both cases, we have found evidence in favour of investors' strategic fragmentation of transactions into intermediate size trades (stealth trading). Finally, it is shown that lack of consensus among agents also generates increased trading, particularly in out-of-the-money and at-the-money options. Copyright (c) 2010 The Authors. Accounting and Finance (c) 2010 AFAANZ.

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“…Stiglitz (1992) Blasco et al (2005) argumentam em seu trabalho que as notícias ruins desempenham um papel altamente significativo na explicação das mudanças de preço e na volatilidade das ações no mercado espanhol. Dessa forma, com base nos resultados identificados, possivelmente, no momento em que notícias boas ou ruins chegam ao mercado brasileiro, os investidores individuais reagem à mudança de expectativa a respeito de futuros retornos e assim realizam suas transações.…”

Section: Tabela 1 Estatísticas Descritivas Dos Log-retornos Dounclassified

Análise da eficiência de mercado do Ibovespa: uma abordagem com o modelo autorregressivo quantílico

Müller¹,

Righi²,

Ceretta³

2015

BASE

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A ex istência de dependência nos retornos de ativos financeiros tem recebido considerável atenção na literatura de finanças, a fim de auxiliar na formulação de estratégias de retorno esperado positivo e na gestão do risco de portfólios. No entanto, a hipótese de eficiência de mercado pressupõe que as novas informações são incorporadas de forma imediata ao ativo e a dependência entre os retornos é nula ou não significativa. Tendo por base essa ideia, o objetivo desse trabalho é analisar o comportamento da dependência serial dos retornos das ações do Ibovespa, fazendo uso do modelo autorregressivo quantílico (QAR). São utilizados log-retornos diários do índice Bovespa, de 02 de janeiro de 2008 a 13 de junho de 2012. Os resultados obtidos permitem concluir que os quantis extremos estão associados a rendimentos positivos ou negativos e apresentam dependência forte e distinta entre si. Já nos quantis centrais a dependência é próxima à zero, semelhante ao modelo de mínimos quadrados ordinários (MQO). Também se identificou um efeito assimétrico dos investidores, associado ao estado de mercado e à localização no quantil. Além disso, observou-se que altos coeficientes autorregressivos quantílicos, positivos ou negativos, resultaram em coeficientes de mesmo sinal nos próximos quantis. Percebe-se, assim, que o Ibovespa se comporta de maneira distinta dos pressupostos da hipótese de eficiência de mercado na forma fraca.Palavras-chave: modelo autorregressivo quantílico, eficiência de merca do, dependência. ABSTRACTDependency on financial asset returns has received considerable attention in the finance literature in order to assist in the formulation of strategies of expected positive return and portfolio risk management. However, the market efficiency hypothesis assumes that new information is immediately incorporated to the asset and that the dependency among the returns is null or not significant. Based on this idea, this research aims to analyze the behavior of serial dependence of stock returns of the Ibovespa using the quantile autoregression model (QAR). Daily log-returns of the Bovespa Index from January 2, 2008 to June 13, 2012 have been used. The resu lts indicate that the extreme qua ntiles are associated with positive or negative returns and have a strong and distinct dependence on each other. The dependence of central quantiles is close to zero and similar to the model of ordinary least squares (OLS). The study also identified an asymmetric effect of investors, which was associated with the market state and the location in the quantile. Besides, high past positive or negative autoregressive coefficients lead to future coefficients of the same sign. It is clear, therefore, that the Ibovespa behaves differently from the assumptions of the hypothesis of market efficiency in the weak form.Keywords: quantile autoregression model, market efficiency, dependence.Este é um artigo de acesso aberto, licenciado por Creative Commons Attribution License (CC-BY 3.0), sendo permitidas reprodução, adaptação e distribuição desde q...

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Bad news and Dow Jones make the Spanish stocks go round

Cited by 27 publications

References 31 publications

An ontology-based Web mining method for unemployment rate prediction

An ontology-based Web mining method for unemployment rate prediction

Does informed trading occur in the options market? Some revealing clues

Análise da eficiência de mercado do Ibovespa: uma abordagem com o modelo autorregressivo quantílico

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