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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets

Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...

Persistent link: https://www.econbiz.de/10011474619

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

Persistent link: https://www.econbiz.de/10011526799

Does bilateral market and financial integration explains international co-movement patterns

Ur Rehman, Mobeen; Shah, Syed Muhammad Amir - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-13

This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling...

Persistent link: https://www.econbiz.de/10011474476

Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market

Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

Persistent link: https://www.econbiz.de/10011883257

An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data

Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

Persistent link: https://www.econbiz.de/10011883488

Sectoral uncertainty spillovers in emerging markets : a quantile time-frequency connectedness approach

Tam Hoang‑Nhat Dang; Balli, Faruk; Balli, Hatice Ozer; … - In: International review of economics & finance : IREF 93 (2024) 2, pp. 121-139

Persistent link: https://www.econbiz.de/10014535528

Are cryptocurrencies a backstop for the stock market in a COVID-19-led financial crisis? : evidence from the NARDL approach

Jeribi, Ahmed; Jena, Sangram Keshari; Lahiani, Amine - In: International Journal of Financial Studies : open … 9 (2021) 3, pp. 1-36

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period...

Persistent link: https://www.econbiz.de/10012587922

Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis

Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21

) countries and the United States of America (US). It unfolds their exposure to contagion effects during the major financial … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market … pure contagion. Such transmission generated short-term shocks. Most of the earlier shocks, particularly the US subprime and …

Persistent link: https://www.econbiz.de/10013252768

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...

Persistent link: https://www.econbiz.de/10011649295

Currency market efficiency revisited : evidence from Korea

Kang, Min-woo - In: International Journal of Financial Studies : open … 7 (2019) 3/52, pp. 1-17

This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...

Persistent link: https://www.econbiz.de/10012150302