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Safe haven or contagion? : the disparate effects of Euro-zone crises on non-Euro-zone neighbours

Bird, Graham R.; Du, Wenti; Pentecost, Eric J.; … - In: Applied economics 49 (2017) 59, pp. 5895-5904

Persistent link: https://www.econbiz.de/10011845841

Currency crises and the stock market : empirical evidence for another type of twin crisis

Eichler, Stefan; Maltritz, Dominik - In: Applied economics 43 (2011) 28/30, pp. 4561-4587

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MENA stock market volatility persistence : evidence before and after the financial crisis of 2008

Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240

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Microstructures, financial reforms and informational efficiency in an emerging market

Arjoon, Vaalmikki - In: Research in international business and finance 36 (2016), pp. 112-126

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Price discovery in emerging market ETFs

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: Applied economics 54 (2022) 47, pp. 5476-5496

Persistent link: https://www.econbiz.de/10013411228

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...