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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

The dog that did not bark: Insider trading and crashes

Marín, José M.; Olivier, Jacques - Department of Economics and Business, Universitat … - 2006

phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as …. Finally we provide new evidence regarding crashes and the degree of information asymmetry. …

Persistent link: https://www.econbiz.de/10005772066

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

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

An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT W...

Kamaruzdin, Thaqif; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014

Islamic Finance as an industry in recent times has been celebrated for its stability and resilience. With the philosophy of risk sharing and strict rules governing its activities to be in line with Islamic Law (the Shariah), the industry is seen as an alternative to the conventional finance with...

Persistent link: https://www.econbiz.de/10011113217

Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry

Alaabed, Alaa; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014

-frequency domain. Using wavelet coherence, we have gained valuable insights into the volatility and continuous dynamics of cross …

Persistent link: https://www.econbiz.de/10011206881