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DOW effects in returns and in volatility of stock markets during quiet and turbulent times

Dumitriu, Ramona; Stefanescu, Razvan - Volkswirtschaftliche Fakultät, … - 2013

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...

Persistent link: https://www.econbiz.de/10011260351

Leverage, return, volatility and contagion: Evidence from the portfolio framework

el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014

When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...

Persistent link: https://www.econbiz.de/10011110266

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011647972

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012016546

Long Memory in Stock Market Volatility:Evidence from India

Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...

Persistent link: https://www.econbiz.de/10011112536

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior …

Persistent link: https://www.econbiz.de/10013448706

The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications

Masih, Mansur; Majid, Hamdan Abdul - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US, Greece, Thailand and Malaysia during the major global financial crises since 1992. The paper makes an attempt to address the following two issues: Firstly, to measure the extent of...

Persistent link: https://www.econbiz.de/10011108726

Leverage versus volatility: Evidence from the Capital Structure of European Firms

el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014

the sovereign debt and country dynamics. Although the latter may be beyond the firm‘s control, it is up to the firm to …

Persistent link: https://www.econbiz.de/10011110302

Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis

Oral, Ece - Volkswirtschaftliche Fakultät, … - 2012

Exchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be...

Persistent link: https://www.econbiz.de/10011111910

أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي

Ghassan, Hassan B.; Alhajhoj, Hassan R. - Volkswirtschaftliche Fakultät, … - 2012

indicates the high risk and explains the dynamics of shareholders behavior, especially on Saturday and Tuesday, where utmost … important information is excreted. The findings highlight that the period of openness to domestic and foreign capital is … characterized by more important flow of information. Also the share prices have a memory, especially in the first sub-period, while …

Persistent link: https://www.econbiz.de/10011112389