On meteor showers in stock markets

Juan Ignacio Peña

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

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.

Keywords: GARCH; Models; Asymmetric; and; non; linear; effects; Stock; Index; Trading; Volume; "Meteor; Showers"; effect (search for similar items in EconPapers)
Date: 1991-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:2793

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