Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 

Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Kaplan, Samuel. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.The objective of this work is to present a set of analytical tools to characterize the nature of the distribution of monthly returns of the stocks that comprised the Merval index in the period 2002-2018, and at the same time compare the results with those of the US market, where the same analysis will be performed for most of the 30 equities that compose the Dow Jones Industrial Index. A set of univariate normality tests will be resorted to, which include the Jarque - Bera and D’Agostino K squared tests. The coefficients of skewness and kurtosis will be estimated to better gauge the distribution of returns. Afterwards, multivariate normality tests will be performed, particularly in concern with the third and fourth moments of equities’ return distributions, and a Generalized Method of Moments (GMM) based test will be used, allowing for contemporaneous correlation between securities and accounting for its effect on skewness and kurtosis.Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Kaplan, Samuel. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Economía, Econometrí

Frustrated classical Heisenberg model in 1 dimension with added nearest-neighbor biquadratic exchange interactions

The ground state phase diagram is determined for the frustrated classical Heisenberg chain with added nearest-neighbor biquadratic exchange interactions. There appear ferromagnetic, incommensurate-spiral, and up-up-down-down phases; a lock-in transition occurs at the spiral boundary. The model contains an isotropic version of the ANNNI model; it is also closely related to a model proposed for some manganites. The Luttinger-Tisza method is not obviously useful due to the non-linear weak-constraint problem; however the ground state is obtained analytically by the exact cluster method of Lyons and Kaplan. The results are compared to the model of Thorpe and Blume, where the Heisenberg part of the energy is not frustrated.Comment: 4 pages, 3 figure

Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility

Abstract By utilizing a novel data set of 24 democracies for the 1972–2018 period, we investigate how election outcomes, including election surprises, are priced by the stock market. We show that an election surprise increases volatility but has no significant effect on excess returns. A win by a coalition announced prior to the election decreases volatility, however, a large winning percentage for the lead party within the coalition decreases excess returns. An unexpected winning margin over the closest competitor by the lead party decreases volatility by consolidating power, but only in parliamentary elections. Party orientation for the winning party affects neither excess returns nor volatility, even if it is unexpected