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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...

Persistent link: https://www.econbiz.de/10009535779

The Inexorable Evolution of Financialisation : Financial Crises in Emerging Markets

Michailidou, Domna M. - 2016

Since the 2007 financial crisis, discussion on issues related to the size, spread and frequency of financial crises has captivated a wide variety of audiences. Why has the world economy experienced such a marked increase in financial transactions and private and public indebtedness since the...

Persistent link: https://www.econbiz.de/10014019821

The Dynamics of Emerging Stock Markets : Empirical Assessments and Implications

Arouri, Mohamed - 2010

Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets...

Persistent link: https://www.econbiz.de/10013521320

Technical analysis, trading volume and market efficiency : evidence from an emerging market

Antoniou, Antonios (contributor) - In: Applied financial economics 7 (1997) 4, pp. 361-365

Persistent link: https://www.econbiz.de/10001226982

Empirical Finance : Modelling and Analysis of Emerging Financial and Stock Markets

Islam, Sardar M. N. - 2005

The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock...

Persistent link: https://www.econbiz.de/10013523026

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Efficiency and unbiasedness of corn futures markets : new evidence across the financial crisis

Pederzoli, C.; Torricelli, Costanza - In: Applied financial economics 23 (2013) 22/24, pp. 1853-1863

Persistent link: https://www.econbiz.de/10010337258

The Euro Crisis

Arestis, Philip (ed.); Sawyer, Malcolm C. (ed.) - 2012

A detailed and informed analysis of the current crisis facing the eurozone, examining the root causes and exploring the possible outcomes and uncertain future of the European Union and its currency. Chapters include case studies of Portugal, Ireland, Spain and Greece, as well as broader...

Persistent link: https://www.econbiz.de/10012053992

Eurocritical : A Crisis of the Euro Currency

Macdonald, Roderick J. - 2018

This book critically analyses the crisis of the euro currency from 2008 to the present. It argues that an understanding … euro. It goes on to describe and explain the crises in four countries - Greece, Ireland, Spain and Italy - showing how they … differ and together challenge the euro currency by requiring a varied policy response from Europe. Eurocritical is a guide …

Persistent link: https://www.econbiz.de/10012397163

Sovereign risk and its changing effects on bond duration during financial crisis

Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: Applied financial economics 24 (2014) 22/24, pp. 1465-1477

Persistent link: https://www.econbiz.de/10010460096