US Stock Market And Macroeconomic Factors

This paper analyzes the relationship between the US stock market and some relevant US macroeconomic factors, such as gross domestic product, the consumer price index, the industrial production index, the unemployment rate and long-term interest rates. All the relevant factors show statistically significant relationships with the stock market except for the consumer price index, and the signs are consistent with the findings of previous literature

Capacidade de absorção da inflação e seu efeito sobre o preço das ações: uma revisão da literatura

This article addresses the inflation absorption capability of companies classified by sectors, as well as its impact in the price of shares. It starts by justifying the importance of the subject of study and then it presents a review of the international literature on the subject. The pioneer works on the subject are highlighted and a classification of the studies that have been analyzed is provided. Then, it analyzes the Spanish case in order to complete the main conclusions of the study. According to the authors, the inflation absorption capability, allows us to know the capability that companies from a determined sector have to translate the inflationary changes that happen in the economy into prices. The companies with a high capability of absorption will tend to present higher quotations, and will be less sensitive to inflationary changes.Este artículo aborda la capacidad de absorción de la inflación que tienen las empresas clasificadas por sectores, así como su impacto en el precio de las acciones. Se comienza justificando la importancia del tema objeto de estudio, para luego presentar una revisión de la literatura internacional. Se destacan los trabajos pioneros en la materia y se aporta una clasificación de los estudios examinados. Luego, se analiza el caso español, para finalizar con las principales conclusiones del estudio. Según los autores, la capacidad de absorción de la inflación permite conocer la habilidad que tienen las empresas de un determinado sector para trasladar a precios los cambios inflacionistas que acontecen en la economía. Las empresas con alta capacidad de absorción de la inflación tenderán a presentar cotizaciones más elevadas y, además, serán menos sensibles a cambios inflacionistas.Este artigo aborda a capacidade de absorção da inflação que têm as empresas classificadas por setores, assim como seu impacto no preço das ações. Começa-se justificando a importância do tema objeto de estudo, para logo apresentar uma revisão da literatura internacional. Destacam-se os trabalhos pioneiros na matéria e fornece uma classificação dos estudos analisados. Logo, analisa-se o caso espanhol, para finalizar com as principais conclusões do estudo. Segundo os autores, a capacidade de absorção da inflação permite conhecer a habilidade que têm as empresas de um determinado setor para transladar a preços as mudanças inflacionárias que acontecem na economia. As empresas com alta capacidade de absorção da inflação tenderão a apresentar cotizações mais elevadas e, além disso, serão menos sensíveis a mudanças inflacionárias

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives

Actividades de evaluación continua - correlación con la calificación de la prueba final y efecto sobre la calificación final. Evidencia en Administración y Dirección de Empresas

In this paper we analyze the partial grades – of continuous assessment activities including the final exam – and the final grades – computed as a weighted average of partial grades – for nine subjects taught in the third year of Business Administration Degree. On one hand, results show that there is a significant positive correlation between the grades of continuous assessment activities (excluded the final exam) and final exam in seven subjects. On the other hand, overall we find that students’ grades in continuous assessment activities (excluded the final exam) help in the improvement of their final grades (i.e., students’ final grades exceed the grades that they would obtain by only taking into account their final exam grades). The results are consistent when the analysis is carried out over each subject area as well as over the grades of the students who registered for the nine subjects.El presente artículo analiza las calificaciones parciales – de las distintas actividades de evaluación continua incluida la prueba final – y la calificación final – calculada como una media ponderada de las calificaciones parciales – para nueve asignaturas de tercer curso del Grado en Administración y Dirección de Empresas. Por un lado, los resultados muestran que existe una correlación positiva significativa entre las calificaciones del resto de actividades de evaluación continua y de la prueba final para siete asignaturas. Por otro lado, encontramos que, en general, la calificación obtenida en las distintas actividades de evaluación continua (excluida la prueba final) ayuda a mejorar la calificación final del estudiante. Es decir, la calificación final del estudiante es superior a la que obtendría si sólo se tuviera en cuenta el resultado de la prueba final. Los resultados son consistentes para un análisis por asignaturas y para una muestra formada por los estudiantes matriculados en las nueve asignaturas

Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness

We investigate the joint and bivariate return and volatility interdependence between various agricultural commodities and oil price shocks. As an alternative of the Diebold and Yilmaz (2012 and 2014) spillover methodology, this paper proposes the application of the fresh time-varying parameter vector autoregression (TVP-VAR) methodology by Antonakakis and Gabauer (2017) during the sample period between January 7, 2000 and September 17, 2020. In addition, this paper pays special attention to the most relevant periods of economic turbulence among the last 20 years: dotcom bubble, Global Financial Crisis (GFC) and COVID-19 pandemic crisis. About the main results, the directional return and volatility connectedness of oil risk shocks is higher than oil demand shocks and, in turn, higher than oil supply shocks. In addition, the dynamic total return and volatility connectedness changes over time, rising during periods of economic crisis. In general, the net return connectedness considerably increases during the three most important crises. Thus, the differences between transmitters\u27 (Canola and Corn) and receivers’ (Orange Juice, Lean Hog, Sugar and Rubber) agricultural commodity markets are emphasized during the GFC and the COVID-19 pandemic crisis. Finally, the net volatility connectedness measure would not show evidence as clear as the net return connectedness measure

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-sample analysis. We find much more unstable weights as the frequency of the decomposition becomes lower, and strong evidence of the outperformance of the mid-run decompositions over the rest of active management strategies and the passive management of buy and hold the variety of single equity indices. Thus, we may shed some light on the role of Gold as a safe haven when properly filtering aggregated data

Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era

This paper explores the dynamic return and volatility connectedness for the three most relevant agricultural and livestock commodity indexes (Softs, Grains and Livestock) and a media sentiment index as the Coronavirus Media Coverage Index (MCI). To that purpose, we apply the fresh time-varying parameter vector autoregression methodology during the sample period between 1 January 2020 and 30 April 2021, that is, covering the three waves of the COVID-19 pandemic crisis. Interesting results are found in this research. First, dynamic total return and volatility connectedness fluctuate over time, reaching a peak during both the first and the third waves of the global pandemic crisis. Second, in the dynamic connectedness TO the system, we observe significant differences between markets at the level of the return connectedness measure. However, in the dynamic volatility connectedness TO, there are very few differences between some elements of the system. The Coronavirus MCI appears as the less relevant receiver FROM the system, not only in terms of dynamic return connectedness but also in volatility. Finally, regarding the net dynamic total connectedness, the Coronavirus MCI shows the highest values in return and volatility, during most of the sample period analysed

Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis

© 2020 Informa UK Limited, trading as Taylor & Francis Group. This paper explores the static and dynamic connectedness between oil price shocks (risk, demand and supply shocks) and Spanish sector equity indices from January-2000 to July-2019. We document sizable system-wide connectedness between the variables under study. Among the oil shocks, demand and risk shocks are the main transmitter (receiver) of shocks to (from) the system and are overall net receiver of shocks from the system. Among the equity indices, Industrials, Financials, Utilities and Telecommunications as the major net transmitters whereas; Consumer Goods, Technology, Retail and Telecommunications are the main net receivers. The dynamic connectedness changes over time and between sectors. We document important differences over time and between sectors, mainly during the recent global financial crisis and the European sovereign debt crisis. Overall, Financials, Telecommunications, Industrials and Utilities as the most influential sectors

Analysis of the dynamic return and volatility connectedness for non-ferrous industrial metals during the COVID-19 pandemic crisis

Purpose: This paper aims to examine the dynamic return and volatility connectedness for six major industrial metals (tin, lead, nickel, zinc, copper and aluminium) and the coronavirus media coverage index (MCI). Design/methodology/approach: To that purpose, this study applies the fresh time-varying parameter vector autoregression methodology (TVP–VAR model) during the sample period between 2 January, 2020, and 16 April, 2021, that is, covering the three waves of the COVID-19 pandemic crisis. Findings: This study’s results show interesting findings. First, dynamic total return and volatility connectedness changes over time, highlighting a significant increase during the third wave of the pandemic. Second, the MCI index is a leading net transmitter in terms of return and volatility at the introduction of the SARS-CoV-2 coronavirus crisis. Third, this study clearly distinguishes two profiles among industrial metals: copper and tin/zinc as net transmitters and lead and aluminium as net receivers. Finally, the most relevant differences between them are concentrated not only at the beginning of the COVID-19 pandemic (first wave) but also during the second and third waves of the coronavirus outbreak. Originality/value: To the best of the authors’ knowledge, this is the first research that explores the dynamic return and volatility connectedness in the industrial metal market, applying the TVP–VAR methodology during the first waves of the COVID-19 pandemic crisis

Aprendizaje cooperativo en educación superior: diferencias en la percepción de la contribución al grupo

Aquest document analitza l'aprenentatge cooperatiu en un grup de treball en el qual s'utilitza metodologia de l'aprenentatge basat en problemes. A més, s'avalua si la percepció que cada component del grup té de la seva aportació a l'aprenentatge cooperatiu és major o menor que la percebuda pels seus companys. S'analitzen diferents aspectes de la feina feta dins el grup, com ara l'esforç efectiu realitzat, la participació, l'organització del grup, la cohesió, la comunicació i la percepció global de la implicació en la feina i l'aprenentatge cooperatiu. S'observa que els estudiants perceben que la seva aportació és major que la percebuda pels seus companys, encara que trobem lleugeres diferències segons els aspectes analitzats.This document analyses cooperative learning in a working group using a problem-based learning methodology. We also evaluate if the perception that each member of the group has of his/her contribution to cooperative learning is greater or lesser than that observed by his/her team-mates. Different elements of the work carried out in the group are analysed, such as the effective effort made, their participation, the organisation of the group, cohesion, communication, and the overall perception of their involvement in the cooperative learning and work. It is observed that the students perceive their contribution as greater than that perceived by their team-mates, although we find slight differences depending on the elements analysed. Este documento analiza el aprendizaje cooperativo en un grupo de trabajo en el que se utiliza metodología del aprendizaje basado en problemas. Además, se evalúa si la percepción que cada componente del grupo tiene de su aportación al aprendizaje cooperativo es mayor o menor que la percibida por sus compañeros. Se analizan diferentes aspectos del trabajo desarrollado dentro del grupo, como son el esfuerzo efectivo realizado, su participación, la organización del grupo, la cohesión, la comunicación y la percepción global de su implicación en el trabajo y el aprendizaje cooperativo. Se observa que los estudiantes perciben que su aportación es mayor que la percibida por sus compañeros, aunque encontramos ligeras diferencias en función de los aspectos analizados