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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions

Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

Persistent link: https://www.econbiz.de/10008855329

Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?

Dreger, Christian; Girardin, Eric - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...

Persistent link: https://www.econbiz.de/10004963762

Monetary Commitment and Structural Reforms: A Dynamic Panel Analysis for Transition Economies

Belke, Ansgar; Vogel, Lukas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

This paper examines the contemporaneous relationship between the exchange rate regime and structural economic reforms for a sample of CEEC/CIS transition countries. We investigate empirically whether structural reforms are complements or substitutes for monetary commitment in the attempt to...

Persistent link: https://www.econbiz.de/10010556651

Real Convergence, Capital Flows, and Competitiveness in Central and Eastern Europe

Belke, Ansgar; Schnabl, Gunther; Zemanek, Holger - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the...

Persistent link: https://www.econbiz.de/10008461813

Short-Term Price Overreaction: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...

Persistent link: https://www.econbiz.de/10011267904

Long-Term Price Overreactions: Are Markets Inefficient?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10011185761

The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10011194299

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at …

Persistent link: https://www.econbiz.de/10010783994

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10010784000

Long Memory in the Ukrainian Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence …

Persistent link: https://www.econbiz.de/10010632796