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Money, stock prices and central banks : cross-country comparisons of cointegrated VAR models
Belke, Ansgar; Wiedmann, Marcel - 2013
, Thailand and Brazil - in the Cointegrated Vector-Autoregressive (CVAR) framework. The main purpose is to assess empirifcally if …
Persistent link: https://www.econbiz.de/10010255144
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Monetary policy, stock prices and central banks cross-country comparisons of cointegrated VAR models
Belke, Ansgar; Wiedmann, Marcel - 2013
, Thailand and Brazil – in the Cointegrated Vector-Autoregressive (CVAR) framework. The main purpose is to assess empirically if …, Australien, Südkorea, Thailand und Brasilien. Wir verwenden dafür den Rahmen der "Cointegrated Vector Autoregression (CVAR …
Persistent link: https://www.econbiz.de/10009779040
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Transmission of shock across international stock markets : an econometric analysis
Talwar, Shalini; Pansare, Jayant - In: Analele Universitătii Dunărea de Jos Galaţi 24 (2018) 1, pp. 110-119
Persistent link: https://www.econbiz.de/10012028269
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The associations between stock prices, inflation rates, interest rates are still persistent : empirical evidence from stock duration model
Eldomiaty, Tarek Ibrahim; Saeed, Yasmeen; Hammam, Rasha; … - In: Journal of economics, finance & administrative science 25 (2020) 49, pp. 149-161
/methodology/approach - The authors use standard statistical tools that include Johansen cointegration test, linearity, normality tests …, cointegration regression, Granger causality and vector error correction model. Findings - The results of panel Johansen … cointegration analysis show that cointegration exists between the stock prices, the changes in stock prices due to inflation rates …
Persistent link: https://www.econbiz.de/10012260161
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Response of stock markets to monetary policy : an Asian stock market perspective
Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; … - 2014
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...
Persistent link: https://www.econbiz.de/10010400823
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Stock prices and monetary policy : an impulse response analysis
Caporale, Guglielmo Maria; Soliman, Alaa M. - In: International journal of economics and financial issues … 3 (2013) 3, pp. 701-709
Persistent link: https://www.econbiz.de/10010518966
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Inflation synchronization and shock transmission between the eurozone and the non-Euro CEE economies : a wavelet quantile var approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2024
Persistent link: https://www.econbiz.de/10014546177
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Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia
Sasipa Pojanavatee - In: Cogent economics & finance 2 (2014) 1, pp. 1-17
The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...
Persistent link: https://www.econbiz.de/10010469413
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The relationship between trading volume and market returns : a VAR/Granger causality testing approach in the context of Saudi Arabia
Alhussayen, Hanan - In: Organizations and markets in emerging economies 13 (2022) 1/25, pp. 260-275
This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to...
Persistent link: https://www.econbiz.de/10013279669
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Study of relationship between large-cap equity funds returns in India and benchmark returns
Kumar, Sanjiwani Jayant; Punjabi, Hitesh; Mahadik, Ashish - In: Analele Universitătii Dunărea de Jos Galaţi 23 (2018) 3, pp. 47-56
Persistent link: https://www.econbiz.de/10012028412