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on Financial Markets |
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Issue of 2018‒03‒26
three papers chosen by |
| By: | Xin-Jian Xu; Kuo Wang; Liucun Zhu; Li-Jie Zhang |
| Abstract: | Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network is a central challenge. In this paper, the concept of dynamic consistence between the threshold network and the stock market is proposed. The optimal threshold is estimated by maximizing the consistence function. The application of this procedure to stocks belonging to Standard and Pool's 500 Index from January 2006 to December 2011 yields the threshold value 0.28. In analyzing topological characteristics of the generated network, three globally financial crises can be distinguished well from the evolutionary perspective. |
| Date: | 2018–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1803.06223&r=fmk |
| By: | Oliveira, André Barbosa; Pereira, Pedro L. Valls |
| Abstract: | The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented in the presence of uncertainty as to the high or low state of the stock market. The portfolios were applied to the main Ibovespa shares. The proposed portfolios offered better performance for the period analyzed. |
| Date: | 2018–03 |
| URL: | http://d.repec.org/n?u=RePEc:fgv:eesptd:473&r=fmk |
| By: | Grace Xing Hu; Jun Pan; Jiang Wang |
| Abstract: | The Chinese capital market, despite its relative short history in its modern form, has experienced a tremendous growth and is now the second largest in the world. Due to China's tight capital controls, the development of its capital market has mostly been isolated from and hence not been well understood by the rest of the world. Yet, this state of isolation is bound to change substantially as China becomes more integrated into the global financial system. In this paper, we provide an empirical overview of the Chinese capital market: its historical development and main empirical characteristics. |
| JEL: | G00 G1 G11 G12 G15 |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:24346&r=fmk |