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Testing of market price direction dependence on us stock market

Business, Management and Education, 2012-12, Vol.10 (2), p.205-219 [Peer Reviewed Journal]

Copyright Vilnius Gediminas Technical University 2012 ;ISSN: 2029-7491 ;EISSN: 2029-6169 ;DOI: 10.3846/bme.2012.15

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  • Title:
    Testing of market price direction dependence on us stock market
  • Author: Stádník, Bohumil
  • Subjects: Bond portfolios ; departures from normality ; Dynamic Financial Market Model ; Economy ; feedbacks on financial market ; leptokurtic returns distribution ; Market prices ; Portfolio management ; Securities markets ; sharpness ; skewness ; Stock exchanges ; Stock prices ; Studies ; Volatility
  • Is Part Of: Business, Management and Education, 2012-12, Vol.10 (2), p.205-219
  • Description: The correct model of a liquid financial market is very important for all market activities including for example a stock or bond portfolio management or an asset valuation. Dynamic Financial Market Model is a comprehensive model with a detailed interpretation. The model considers also feedback processes which cause price development direction dependence on the previous development. This is why it is also able to explain departures from normality as leptokurtic deformations with fat tails and sharpness, extreme values or skewness in the returns’ probability distributions. These departures are commonly explained using a wide range of models with volatility dependence. The question is then arising, whether the volatility or direction dependence is more in accordance with reality. Price Inertia Feedback is one of the most important and has a direct impact on probability distribution and also on a price forecasting. Empirical measurement of this feedback is the core of the paper.
  • Publisher: Vilnius: Vilnius Gediminas Technical University
  • Language: English;Lithuanian
  • Identifier: ISSN: 2029-7491
    EISSN: 2029-6169
    DOI: 10.3846/bme.2012.15
  • Source: CEEOL: Open Access
    Alma/SFX Local Collection
    ROAD: Directory of Open Access Scholarly Resources
    DOAJ Directory of Open Access Journals
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