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On meteor showers in stock markets

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  • Peña, Juan Ignacio

Abstract

The relationship between the Dow-Jones Index returns and Madrid Stock Index returns is observed. Using daily data for the period 1988-1989 significant effect are found, being the Dow-Jones Index returns a leading indicator for Madrid returns condicional mean. The effects are asymmetric: negative changes in the Dow-Jones Index returns have twice the effect than positive ones; and nonlinear as the influence of Black Friday, October 13, 1989 suggests. The "meteor shower" effects between boths markets volatilities is documented. Daily traing volume has some explanatory power for the conditional variance of daily returns. Day of the weeks effects are examined and it is found that the average return on Thursday is abnormally high.

Suggested Citation

  • Peña, Juan Ignacio, 1991. "On meteor showers in stock markets," UC3M Working papers. Economics 2793, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2793
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    Keywords

    GARCH Models;

    Statistics

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