In Search of Market Index Leaders: Evidence from World Financial Markets

This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008. Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets. Results show that there is high Granger-causality amongst stock returns in every phase of financial markets, but that a real market index leader does not exist, except for Nikkei and Eurostoxx in the third quartile.Granger-causality, Asian stock markets, market indices, VAR

Political Economy of Global Finance (YorkU, AS4295/GS5295 3.0, Undergraduate/Graduate)

Why should political science students be concerned with money, financial instruments and international capital movements? The standard interdisciplinary answer is that finance and politics “affect” one another. For instance, governments have to pay close attention to the stocks and bond markets, whereas investors depend on political and legal conditions; economic performance and class positions are influenced by, and in turn bear on interest rates and asset values; and international interdependence is further complicated by cross-boarder capital movements. The seminar deals with such connections but also goes beyond them, seeking to understand finance itself as a dominant form of politics. Discussion is organized around several key themes, including: (1) Concepts and Building Blocks: What are financial markets, who are the key players and why are they there? (2) The Alchemy of Finance: How do financial markets work? What different theories and ideologies are used to explain, justify and criticize the functioning of modern finance? How is finance a form of “governance”? Who is being governed, by whom and to what end? (3) The Globalization of Finance: What is capital flow and how is it related to ownership and power? What is the connection between the power of capital, state sovereignty and international monetary stability? How have their relationships changed over time? (4) Political Economy of Global Finance: Is international finance a precondition for prosperity, or is it a “fictitious” bubble, de-linked from the underlying “real” political economy and hence a source of global instability? What types of international financial architectures are possible, and what do they imply for the political economy of power and well being, locally as well as globally

The Effect of Epidemiological Investor Sentiment on Financial Market Movements

This paper investigates the effect of public sentiment related to epidemiological crises on financial market movements. The outbreak of COVID-19 provided evidence of the havoc a pandemic can wreak on financial markets. The Ebola outbreak between December 2013 and January 2016 provides the ideal case study to isolate sentiment. Sentiment was quantified with established text processing methods, using news on viral events uncorrelated with other potential causes of market movements and incorporating publisher circulation. I find that epidemiological investor sentiment has a highly statistically significant, current, and non-linear relationship with individual company stock returns when controlling for company-specific fixed effects

Predicting stock returns by number of company mentions in tweets

This study attempts to establish whether return or magnitude of return can be predicted by how many tweets mention a company by either its name or stock symbol. The sample data consists of 365 million tweets of which 706,700 mention a S&P 500 company between June 1st, 2016 and June 30th, 2017. It was found that tweets which mention a company by its stock symbol while stock markets are open have a positive impact on its return between 0 to 1%. No evidence was found of number of tweets holding a predictive value of the magnitude of return

Winning and losing in the creative industries: an analysis of creative graduates' career opportunities across creative disciplines

Following earlier work looking at overall career difficulties and low economic rewards faced by graduates in creative disciplines, the paper takes a closer look into the different career patterns and economic performance of “Bohemian” graduates across different creative disciplines. While it is widely acknowledged in the literature that careers in the creative field tend to be unstructured, often relying on part-time work and low wages, our knowledge of how these characteristics differ across the creative industries and occupational sectors is very limited. The paper explores the different trajectory and career patterns experienced by graduates in different creative disciplinary fields and their ability to enter creative occupations. Data from the Higher Education Statistical Agency (HESA) are presented, articulating a complex picture of the reality of finding a creative occupation for creative graduates. While students of some disciplines struggle to find full-time work in the creative economy, for others full-time occupation is the norm. Geography plays a crucial role also in offering graduates opportunities in creative occupations and higher salaries. The findings are contextualised in the New Labour cultural policy framework and conclusions are drawn on whether the creative industries policy construct has hidden a very problematic reality of winners and losers in the creative economy

Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals

The increasing availability of "big" (large volume) social media data has motivated a great deal of research in applying sentiment analysis to predict the movement of prices within financial markets. Previous work in this field investigates how the true sentiment of text (i.e. positive or negative opinions) can be used for financial predictions, based on the assumption that sentiments expressed online are representative of the true market sentiment. Here we consider the converse idea, that using the stock price as the ground-truth in the system may be a better indication of sentiment. Tweets are labelled as Buy or Sell dependent on whether the stock price discussed rose or fell over the following hour, and from this, stock-specific dictionaries are built for individual companies. A Bayesian classifier is used to generate stock predictions, which are input to an automated trading algorithm. Placing 468 trades over a 1 month period yields a return rate of 5.18%, which annualises to approximately 83% per annum. This approach performs significantly better than random chance and outperforms two baseline sentiment analysis methods tested.Comment: 8 pages, 6 figures. To be presented at IEEE Symposium on Computational Intelligence in Financial Engineering (CIFEr), Bengaluru, November 18-21, 201

Testing stock market efficiency from spillover effect of Panama Leaks

Artigo publicado em revista científica internacionalOn 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak events on five stock exchanges to ensure the market efficiency and investor perception related to the Panama leaks. Event study methodology is used on five occasions associated with Panama papers, i.e., the resignation of the Prime Minister of Iceland on 5 April 2016, Jurgen Mossack’s resignation on 7 April 2016, the resignation of the Spanish Minister of Industry on 15 April 2016, the 450 personalities of Pakistan that were nominated in Panama papers on 15 April 2016, and the formation of an inquiry commission to inquire into the matter. The market efficiency of five stock exchanges was checked, i.e., the KSE 100 of Pakistan, the OMXIPI exchange of Iceland, the IBEX 35 of Spain, the New York stock exchange (NYSE), and S&P 500. The market remains efficient for most events and investor behaviour changes for one or two days around the event day (this event has concise term significant abnormal returns in all stock exchanges or concise term significant abnormal macroeconomic effects are observed in all stock exchanges).info:eu-repo/semantics/publishedVersio