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Incremental information of stock indicators

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  • Vortelinos, Dimitrios I.

Abstract

The present paper is the first to examine the incremental information of stock indicators in the spot and futures stock markets. The properties of volatility series of indicators in relation to spot and futures stock indices are examined. Correlations between either the spot or futures stock indices and the corresponding indicators are examined for their properties. The asymmetry, heterogeneity and jump properties of volatilities and correlations are studied. Indicators offer information not captured in the corresponding futures and spot stock indices. Volatility and correlation in the stock market are accurately in-sample predicted via asymmetric and HAR models. The inclusion of indicators improves the in-sample modeling of volatility and correlation in the stock market.

Suggested Citation

  • Vortelinos, Dimitrios I., 2016. "Incremental information of stock indicators," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 79-97.
  • Handle: RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97
    DOI: 10.1016/j.iref.2015.09.004
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    Keywords

    Stock market; Indicators; Asymmetry; HAR;

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