Trading Period Research Articles

Exploiting News Analytics for Volatility Forecasting

ABSTRACTThis study investigates the potential of news sentiment in predicting stock market volatility. We augment traditional time series models of realized volatility with the sentiment of macroeconomic and firm‐specific news. Our results demonstrate that incorporating the sentiment of domestic macroeconomic news significantly improves volatility predictions for individual stocks and the S&P 500 Index. Notably, we find substantial enhancements in long‐horizon volatility predictions when including the sentiment of macroeconomic news in the regression models. In contrast, firm‐specific news sentiment shows only modest predictive power in the general framework. However, expanding the set of predictors to include the news count of firm‐specific news occurring overnight between two consecutive trading periods significantly improves one‐period‐ahead volatility forecasts.JEL Classification: C53, C55, C58, G14, G17

Russia-associated sanctions and asset’s value: determination of yield on investment from the liquidity perspective

<p><span lang="EN-US" style="font-size: 14pt; font-family: 'times new roman', times, serif;">In this study, the time-varying pattern of returns with the trading cost is assessed in light of sanctions on the Russia’s economy. The analysis is performed on the Moscow Exchange Index (MOEX) using the ordinary least squares (OLS) method, Bayes’ Theorem technique, and vector error correction model (VECM). Firstly, the transparency of asset’s value in the same trading period was noted to execute the trade with a limited price impact. Thus, the liquidity seems not priced in returns. In addition, the posterior probability of the transparent asset’s value stabilized the market at a limited transaction cost. In this case, there is less likelihood of liquidity acting as a risk element in returns during the same trading session. These results correspond to the era without sanctions, as well as economic restrictions period. Before the economic restrictions, the execution of investment occurred on its real or close value due to the market transparency in the following trading period. This implies, that the past trading cost series is not priced in yields on investment. During the Russia-related sanctions, a higher price impact of transaction was noted due to the ambiguity in the future asset’s value. Therefore, the past liquidity series is a pricing element in the short run and long run. The analysis suggests a potential inference of trading cost to determine the yield on investment. </span></p>

Trade literature provides a path from research to practice

Abstract The work of professionals practicing in the community provides a pathway for knowledge advances to reach practice. Yet outside of medicine, little attention has been paid to this phenomenon. Similarly, professions are defined by bodies of knowledge yet studies of professions do not attend to the dynamic relationship between professionals and the ever advancing frontiers of knowledge. In this paper, we delineate the pathway from research to practice as evidenced in trade literature. Our analysis is based on bibliometric and survey data. We find evidence that trade literature is informed by research in references to research papers found in trade periodicals, and trade press articles authored by researchers. Professionals feed back their advances in practice to the community by writing articles for trade publications, and sometimes these are articles are cited by scholarly journal articles, thus the exchange of knowledge is bi-directional to a certain extent. Our survey established that many professionals read trade literature because the contents are relevant to their practice. They trust, with caveats, the material they read but trust more in material with an obvious connection to public sector research. Professionals can often point to ways their practice has improved due to something they read in a trade periodical. Thus the trade literature has institutionalized a mechanism of indirect linkage between research and practice. Indexing trade periodicals could provide a valuable resource for those wishing to make visible the connection between research and practice.

Racism Learnt and Unlearnt

For centuries, Africans migrated to India in different phases resulting in a significant presence of the African diaspora in this country. The term “African diaspora” gained currency only in the mid-nineteenth century in connection with the study of the people of African origin dispersed all over the world. But in countries like India, the African presence dates as far back as the period of the Indian Ocean slave trade. Historically, India and Africa have shared cordial political and economic relations. Their shared history of anti-colonial struggle, the mutual reverence for political leaders like Mahatma Gandhi and Nelson Mandela, and India’s support for postapartheid South Africa might indicate the peaceful coexistence of Indians and Africans in present-day India. But the on the ground reality hits differently, as depicted in “The Shade of You” by Anushree Majumdar, published in Eleven Ways to Love: Essays by Penguin India. Majumdar thinks herself a modern and enlightened woman until she gets into a relationship with Bryan Ochieng, a Kenyan studying in Delhi. As she gradually explores her relationship with Bryan, she comes to know about different aspects of racism that the African diaspora faces in Delhi in a more intimate way. Getting mocked and ridiculed for dating a black man in the public space makes her critique the racist attitude of her fellow Delhiites. She realizes that Indians have deeply internalized the colonial legacy of racism and colorism. She understands that, since our very childhood, we embrace a culture informed by racist ideology unconsciously. Indians are satisfied with the tokenist acceptance of black culture by celebrating black footballers and pop artists, but they would never let African diasporic people come closer as family and friends. This mindset has sufficiently exoticized and otherized Africans in India. Her proximity to Bryan reveals to her how ignorant she has been about Bryan’s culture despite her love of selective parts of Kenyan culture. The presence of Bryan and his Kenyan friends in her life offers her moments of self-reflexivity. She comes to question how much she has been able to unlearn her racial prejudices, and the answer forces her to confront an aspect of her race–intolerant subjectivity so far buried under her conscious race-sensitive self. Her self-realization makes her feel uncomfortable and apologetic. She feels that the self-realization that has dawned upon her is not enough to help her in the unlearning process overnight. She fails to maintain a long-term relationship with Bryan given their seemingly unbridgeable cultural gap at that point in time. But Bryan’s entry into her life marks the beginning of her anti-racism journey in the true sense of the term and it continues. Years later, she finds that she has become a better version of herself who is no longer troubled by the hidden guilt and shame associated with her relationship with an African.

Not all REITs are alike: modelling the dynamic connectedness of sectoral REITs and the US yield curve

ABSTRACT We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varying framework. Our static analysis reveals Office REITs as the net spillover transmitter to the system, whiles Mortgage, Timber, and Infrastructure REITs are net recipients of return and volatility spillovers. We document that despite the high interdependencies between sectoral REITs, their response to return and volatility spillovers is heterogenic. Our findings divulge low idiosyncratic spillovers in sectoral REITs, suggesting that controlling the transmission and admission of exogeneous shocks need to be paramount to both investors and policymakers. Our dynamic analysis discloses the consistency of Industrial, Mortgage, and Timber REITs as diversifiers (safe havens) in tranquil (tumult) trading periods. We document contagion in the connectedness of sectoral REITs during crises periods. Therefore, timely policy actions in stressed market conditions are recommended to lessen the degree of effect on fundamental cross-sector linkages through contagion. We discuss the implications of our findings for portfolio management and market regulation.

Traces of Islam in Minority Lands: The Historical Journey of Muslim Civilization in the Netherlands

<em>This article explores the history and dynamics of the Dutch Muslim minority community in relation to the broader context of Islam. The introduction of Islam into the Netherlands can be traced back to various historical events and waves of migration. Initially, Arab traders played a pivotal role in introducing Islam to the region through their commercial activities. Subsequently, the Ottoman Turks contributed to the spread of Islam in the Netherlands, particularly during periods of trade and diplomacy. However, one of the most significant chapters in this narrative unfolded after World War II, when a new wave of immigrants sought asylum and refuge in the Netherlands. These immigrants brought with them their diverse cultural backgrounds and religious beliefs, including Islam. This era marked a transformative period in Dutch society, shaping its multicultural landscape and religious composition. It's noteworthy that the Netherlands is recognized as one of the most secular countries in Europe. This secular ethos is enshrined in the country's governance and policies, which prioritize individual freedom of religion and belief. Unlike some other nations, the Dutch state upholds the principle of religious freedom, allowing its citizens to choose their faith without coercion or compulsion. In conducting this study, the literature research method was employed. This approach involves a comprehensive review and analysis of various scholarly works, publications, and primary sources available in libraries. The researcher leverages a wide array of resources, such as books, academic journals, newspapers, and archival materials, to gain insights into the historical context and contemporary dynamics of Islam and its practitioners within the Dutch context.</em>

Analysis of The Influence of Company Fundamentals on Stcock Prices During the Transition Period and After the Implementation of the Remote Tranding System on the Stock Excange Indonesia (Study in Banking)

This study aims to determine the effect of ROE (Return on Equity, (PER) Price Earnings Ratio, DER (Debt to Equity Ratio), NPL (Non - Performing Loans), and BOPO (operating costs of operating income) on banking stock prices during the transition period and after the implementation of remote trading system technology on the Indonesian stock exchange and also examines whether there is a difference in the effect of these independent variables on stock prices in the two periods. This research was conducted with quantitative methods and used secondary data. The number of samples in this study was 6 banking companies listed on the Indonesia Stock Exchange from 2006 - 2020, where the transition period was from 2006-2009 and the remote trading period was from 2010-2020. The data were analyzed separately in both periods using multiple linear regression models, a classical assumption test, and also the Chow Test as an additional test using the SPSS 25 tool. The results showed that during the transition period only DER had no significant effect and 4 (four) other independent variables; BOPO, NPL, PER, and ROE have a significant effect on stock prices, while during remote trading the DER and PER variables have no significant effect and 3 (three) other independent variables; BOPO, PER, and NPL have a significant effect. During the transition period, the independent variables simultaneously have the effect of 70.3% on the price, but during the remote trading period, the ability of the five independent variables is only 35.5% in explaining the rise/fall of stock prices. The results of the Chow test show that there are differences in the influence or structural changes in the influence of independent variables on stock prices and the regression coefficients. There are also differences where the independent variables during the transition period are all inelastic (e < 1) and vice versa during remote trading all coefficient values the regression is elastic (e > 1).

Impact of ownership structure, underwriter reputation and IPO proceed size to the level of IPO underpricing

The research aims to examine and confirm whether the underpricing phenomena exist in the Indonesia IPOs during the observation period Year 2017 to 2021 and explain its variations. This research investigate the effect of key determinants factors that have influenced the level of IPO underpricing. The research used the secondary data analysis with cross sectional studies of the observation data of 254 IPO companies. The analysis were applied with several trading period time frame i.e. 1 day, 1 month, 3 month and 6 month. The result shows that the underpricing phenomenon is confirmed in Indonesia’s IPO with number of companies that experience underpricing has reached 85% on the first of trading day. Underwriter reputation is positively related to the level of underpricing in the first trading day period. Companies with larger size of IPOs are underpriced less than the smaller ones. Meanwhile the ownership retention is negatively related with the level of underpricing. The ownership identity and ownership type are not associated to the level of underpricing. In addition, the research find that these variables are not associated to the level of underpricing for period other than 1 trading day.

The productivity paradox in carbon‐intensive companies: How eco‐innovation affects corporate environmental and financial performance

AbstractEmpirical studies analyzing the relationship between strategies to reduce greenhouse gas (GHG) emissions and firms' environmental and financial performance often fail to find significant effects when firms invest in innovative green technologies. Indeed, as efficiency and productivity gains of new technologies can often be reaped only after a certain time gap, cross‐sectional studies are bound to ignore the time component, thus becoming subject to the productivity paradox. Employing an integrative approach, drawing on eco‐efficiency theory, productivity paradox, and innovation diffusion principles, this longitudinal study observes companies with high GHG emissions during and after the first two European Union Emission Trading Scheme (EU ETS) trading periods (2005–2019). It analyzes (1) the dynamics of carbon reduction practices over time, (2) the impact of GHG reduction strategies on environmental performance, (3) the positive effect of GHG‐related efficiency improvements on firm performance, while considering (4) the moderating effect of GHG emissions type on the latter relationship.

Advance Sequential Models for Asset Trading: Leveraging LSTM & RNN with Stochastic RSI and MACD Indicators

Abstract: The goal of stock market prediction is to forecast a company's financial stocks' future worth. The application of machine learning, which creates predictions based on the values of the current stock market indices by training on their prior values, is a recent trend in stock market prediction technologies. Machine learning utilises many models to facilitate accurate and reliable prediction. The study focuses on stock value prediction using regression and LSTM-based machine learning. Considered factors are volume, low, high, open, and closed. We also employ algorithmic trading, which is a technique for automatically executing orders based on pre-programmed trading instructions that take volume, price, and time into account. This kind of trading aims to take advantage of a computer's speed and computational power in comparison to human traders. Algorithmic trading has become more popular in the twenty-first century, prompting traders to respond. According to a 2019 research, 92% of traders use algorithms rather than people. The moving average convergence & divergence and the relative strength index are our primary tools. One technical tool employed in financial market analysis is the relative strength index, or RSI. Charting a stock's historical and present strength or weakness with retail and institutional traders is the goal. Investment banks, mutual funds, pension funds, and hedge funds all utilise it extensively when they need to perform trades. based on the closing prices of a recent trading period, too fast for a human or the market. It is important to distinguish the indicator from relative strength. The RSI measures the speed and size of price changes and is categorised as a momentum oscillator. The rate at which prices rise or fall is known as momentum. The ratio of higher closes to lower closes, where closures are defined as averages of absolute values of price changes, is the relative strength, or RS. The RSI determines momentum by dividing higher closes by overall closes, or stocks with more or stronger positive moves. The RSI is most commonly employed during a 14-day period and is scaled from 0 to 100, with 70 and 30 representing the high and low readings, respectively. Alternately shorter or longer outlooks are associated with shorter or longer time frames. Although they happen less frequently, high and low levels— 80 and 20, or 90 and 10—indicate increased momentum. J. Welles Wilder created the relative strength index, which was first published in the June 1978 issue of commodities magazine and in his 1978 book New concepts in technical trading systems, and in commodities magazine in the June 1978 issue.

Electronic Sales Partnership Network Management Information System Model Of In Multi-Level Marketing

Advertising is a commercial activity that has found its place in our lives since the earliest known periods of trade. The impact of developing technologies has led to changes in advertising techniques and media. An important part of trade has recently moved online. Similarly, advertising activities have also moved online. Advertising activities to be carried out online have superior and weak sides. One of the marketing methods adopted and accepted by businesses today is multi-level marketing. Another working method adopted by businesses is the sales revenue partnership system. Within the scope of our research, we have tried to put forward a working model that brings together the superior aspects of multi-level marketing and sales revenue partnership system organization. On the one hand, it is aimed to create a management information system model that accepts the advertising campaigns organized by advertisers and acts as an affiliate system, and on the other hand, it is aimed to create a management information system model for promoting these campaigns quickly and reliably on the internet through publishers who have come together with the multi-level marketing organization. The question "How can a management information system be designed for this type of working model?" was adopted as the main problem of the research and a literature review was conducted in this direction. Leading global and local companies adopting both working models were analyzed in terms of structure and terms used. With the information gathered, an application software based on the theoretical model was developed and tested in terms of all stakeholders and workflows. In cases where the objectives of the theoretical model could not be achieved, the model was revised and workflow problems were eliminated. After the successful operation of the application software, concrete results were presented on how this new working model should be managed as a management information system. Suggestions are presented for the superior aspects of the new model, as well as the points that may create vulnerabilities.

Costly Information Acquisition in Decentralized Markets: Experimental Evidence

This study tests the rationality of the decisions to purchase information, the informational efficiency of prices, and the optimality of the resulting allocations in decentralized markets with a series of laboratory experiments. The theory predicts that markets with dispersed information and natural buyers and sellers converge to a fully revealing equilibrium. It is profitable to pay for information, and as such, the Grossman-Stiglitz paradox does not emerge. Statistically significant improvements in both price efficiency and allocative efficiency are documented across trading periods. In contrast to the theory, which predicts that the higher the number of informed agents, the stronger the individual incentives to invest in information, the and the more data present the opposite result. The price of information is higher when there are fewer informed agents. The result can be explained by boundedly rational decision making. This paper was accepted by Yan Chen, behavioral economics and decision analysis. Funding: This work was supported by the National Science Foundation [Price Quality in Dark Markets Grant 1426428]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.4976 .

Investment Decision Using Technical Analysis: A Study on Selected Stocks in Indian Stock Market

Technical analysis is a methodology in financial markets that asserts its capability to predict future stock directions by scrutinizing historical market data, patterns in price movements, and correlations between price and volume. Traders widely utilize these data in their decision- making processes. The approach also takes into account the real-time behavior of market prices and volumes, operating under the assumption that these are the most influential factors in determining a stock’s or market’s future trajectory. Investors often grapple with decisions regarding which stocks to buy, the optimal purchase quantities, and when to execute selling or holding actions to maximize profits in the trading period. This research delves into these considerations, offering insights for short-term traders by analyzing the stock price trends of twelve companies across three distinct sectors over the 2020-2022 period.

The Intraday Heterogeneity and Risk Pricing Reversal Between Day and Night: Evidence from China

ABSTRACT Using a large panel of high-frequency trading data, this article investigates the intraday heterogeneity of risk pricing process in the Chinese stock market. Our research reveals that the financial assets in China exhibit intraday beta variation: high/low market risk level assets, with beta values above/below unity, tend to have downward/upward sloping beta trajectories across the intraday trading periods. We confirm a trend reversal of the risk-return relation between day and night in the Chinese market: the assets’ intraday returns are negatively correlated with their market risk level, whereas their overnight returns are positively correlated with their risk level. Further investigation shows a connection between the intraday beta variation and the day-night reversal anomaly, and the risk-return reversal between day and night can be partially explained by the intraday beta variation of financial assets. After controlling for the intraday beta variation, the risk-return reversal anomaly between day and night becomes less pronounced in the Chinese market.

Winners and losers in investment competition – Experimental study

We report the results of lab experiments on investment competition, where all subjects receive their accumulated earnings and the subject with the highest returns earns an additional bonus. We find that ranking is negatively correlated with portfolio risk: when subjects realize that their rank is relatively low, they increase their portfolio risk. This behavior is shared by all subjects in all rankings during all trade periods, regardless of the risk-free rate. Furthermore, in a competition, subjects respond to rank changes, increasing (decreasing) their portfolio risk after experiencing a decrease (increase) in their rating, regardless of their ranking.

Investigation for Covid-19 Affecting the Commodity Futures

This article details the impact of the COVID-19 outbreak on commodity markets in 2020. The difference between the three futures in the energy industry, metal industry, and agriculture is compared. Crude oil futures for the energy sector are highlighted. Using a detailed event that existed at that time to analyze, we found the problems of crude oil futures under uncontrollable disease disasters, analyzed the reasons, and gave corresponding solutions. Throughout the event, the price of crude oil futures fell into negative territory for a period of time, which has never been seen before. Therefore, there are deficiencies in the way of dealing with such situations. And there are many restrictions in a type of energy industry like crude oil, for example, there are problems with storage methods for crude oil. This is also the root cause of the negative value of crude oil futures. Commodities like this are relatively weak in responding to major disasters, which is one of the aspects that need to be paid attention to during the subsequent trading period.

Tin isotopes reveal changing patterns of tin trade, connectivity and consumption from Anatolia and Central Asia at Kültepe

Until recently, what was known about the trade of tin in the ancient Near East was based in large part on information derived from the extensive commercial archives found at the archaeological site of Kültepe (ancient Kaneš) in Turkey dating to the Middle Bronze Age (MBA) c. 1900-1750 BC. These archives were produced by an expatriate community of traders native to the city of Assur in modern-day Iraq and document an extensive shipping of tin ingots from unnamed sources east of their hometown. Tin was carried by donkeys through northern Syria and across the Taurus Mountains to Anatolia where it was sold for silver.This paper presents the first set of tin isotope analyses of bronze objects from Kültepe to test the image provided by these ancient archives, finding that all artifacts dated to the main period of Assyrian trade excavated in the residential areas of the site indeed have high tin content and high values of δ124Sn (0.77–1.74‰) relative to the NIST 3161a standard. Such high values currently compare best with ores from Central Asia. The isotopic analysis of artifacts from the Assyrian Trading Colony Period of Kültepe is therefore consistent with the textual evidence.However, Early Bronze Age samples recovered at the site are instead characterized by lower ranges that extend to neutral δ124Sn values (0.02–1.31‰). Likewise, one artifact coming from Mound Level 7 (c. 1830-1700) at the center of the site where public buildings were concentrated, and one object dated to the Hellenistic Period (Mound Level 2), when the site saw a resurgence in political importance, likewise have lower δ124Sn compositions of 0.11 and 0.31‰, respectively. Both samples also have low to moderate tin content.The Early Bronze Age artifacts form a linear array between artifacts from low δ124Sn-low Sn wt% to high δ124Sn-high Sn wt% that suggests a mixing of two compositional groups – not simply the mixing of two isotopically distinct reservoirs of tin, but also distinct in the amount of tin present in the alloy. This would be consistent with the recycling of low tin bronze objects with local tin, together with high tin bronzes containing tin from Central Asia. The two samples from Mound Levels 7 and 2 suggest that although Central Asian tin was predominant in the MBA, Anatolian tin may have continued to be used in a separate bronze production system that remained active at shifting varying of intensity throughout antiquity.

HISTORICAL STUDY OF MALAY AND CHAM: RELATIONS IN SOCIAL, CULTURAL, POLITICAL AND RELIGIOUS CONTEXTS

Historical contact between the Indochinese and Malay worlds dates back to the early Bronze Age civilisations of the archipelago. It continued throughout the period of intense trade in the archipelago. Diplomatic relations between the Champa and Malay nations are not limited to economics, but have entered a more intense realm, such as politics, Islamic preaching to a small level, namely kinship. This journal article aims to discuss the history of the relationship between Malay Muslims and the Cham community, especially in building and empowering the Cham Muslim community in Vietnam in the past. The research method used is the historical research method, where source collection uses literature study techniques, with data analysis using interactive patterns. The analysis was carried out from the beginning of the research as well as during the process of analysing the research data sources up to the process of drawing conclusions. The results show that the study of the historical relationship between Champa and Malay has provided insights into the intense relationship between these two nations. This can be seen in how Champa and Malay work together to empower the Cham Muslim community in terms of social, economic, religious and political aspects. The relationship between Malay and Champa is not only romanticised in the past, but this relationship continues to be established and sustained on the basis of culture, humanity and religion.

The Impact of Procuring Per Offer, Turnover of Absolute Resource, Return on Value and Debt Asset Ratio on Offer Value of Maufactur Area Recorded on the Indonesia Stock Trade Period 2019 - 2022

The value of the money is going to decrease because of inflation, so we have to invest in an investment asset. The investment tool explored in this research is c-stock which uses financial ratios to determine whether financial ratios are correlated with stock prices in order to identify capital intensive companies. This research uses ratios such as EPS TATO ROE and asset or debt ratio to provide profitability. This study has been carried out in the case of manufacturing companies listed on IDX, using Eviews version 10 as a data processing tool. The primary sampling method was applied in this study, as it is the standard of sampling. From 2019 to 2022 the samples were six companies with research data and therefore 32 observation reports have been collected. Because of the review, it is known that (1) Profit per share emphatically affects stock costs. The meaning of 00154 demonstrates this so H1 is acknowledged. ( 2) The complete resource turnover rate essentially affects the stock cost as confirmed by the meaning of 01040 so H2 is dismissed. ( 3) Return on value emphatically affects stock cost ( ) which is demonstrated at the importance level 00390 so H3 is acknowledged. ( 4) The obligation to resource rate affects share costs, this is validated by a critical worth of0.0719 so H4 is dismissed;( 5) accomplished contemporaneous Experimental outcomes calculation results F of3.103040 with probability0.031819 can be closed in the event that all factors have a huge impact contemporaneously on costs of stock. The aftereffects of the retrogression examination show the adjusted worth( r2) of0.213441, implies that varieties in Profit per Offer, Advancement of All out Resource, Return on Value, and Obligation to implies rate can make sense of the21.34 of changes in stock value, the remaining78.66 is made sense of not analyzed by different factors in this review.

Disagreement about public information quality and informational price efficiency

Investors often hold differing opinions on public information quality. This paper shows that such investor disagreement provides a novel explanation for financial market dynamics around earnings announcements. We propose a rational expectations equilibrium model where investors disagree about the precision of a public signal, which separates a pre-news trading period from a post-news trading period. In equilibrium, investor disagreement about public signal precision diminishes informational price efficiency before the news, but enhances it afterward. Consequently, investor disagreement leads to a notable jump in informed trading around the news, a decline in abnormal trading volume before the news and a surge immediately after the news, and underreaction of stock price to announced earnings.