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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013

This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

Persistent link: https://www.econbiz.de/10010936606

Modeling Persistence of Carbon Emission Allowance Prices

Gil-Alana, Luis A.; Gracia, Fernando Perez de; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the...

Persistent link: https://www.econbiz.de/10011202986

Macroeconomic Variables and South African Stock Return Predictability

Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2011

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...

Persistent link: https://www.econbiz.de/10008876620

South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns

Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2010

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 to 1996:12 and the out-of-sample period of 1997:01 to 2010:04. We use the...

Persistent link: https://www.econbiz.de/10008756444

Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach

Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

which is a stronger predictor of not only stock returns, but also volatility. …

Persistent link: https://www.econbiz.de/10011188121

On the Welfare Equivalence of Asset Markets and Banking in Diamond Dybvig Economies

Zimper, Alexander - Department of Economics, Faculty of Economic and … - 2013

Why do people choose bank deposit contracts over a direct participation in asset markets? In their seminal paper, Diamond and Dybvig (1983) answer this question by claiming that bank deposit contracts can implement allocations that are welfare superior to asset markets equilibria. The present...

Persistent link: https://www.econbiz.de/10011095432

Bank Deposit Contracts Versus Financial Market Participation in Emerging Economies

Zimper, Alexander - Department of Economics, Faculty of Economic and … - 2013

The financial sector of emerging economies in Africa is characterized by a non-competitive banking sector which dominates any direct participation of agents in asset markets. Based on a variant of Diamond and Dybvig's (1983) model of financial intermediation, we formally explain both stylized...

Persistent link: https://www.econbiz.de/10011095481

Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test

Nazlioglu, Saban; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This paper examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three … explores the volatility spillover dynamics between those markets and U.S. Monetary policy, oil prices, global financial risk … of risk transfers between these seemingly different equity markets, indicating a contagion between them. The volatility …

Persistent link: https://www.econbiz.de/10011220716

Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach

Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2013

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South...

Persistent link: https://www.econbiz.de/10010695849

Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?

Gupta, Rangan; Hammoudeh, Shawkat; Simo-Kengne, Beatrice D. - Department of Economics, Faculty of Economic and … - 2013

This study employs fourteen global economic and financial variables to predict the return of the Islamic stock market as identified by the Dow Jones Islamic stock market. It implements alternative forecasting methods and allows for nonlinearity in the multivariate predictive regressions by...

Persistent link: https://www.econbiz.de/10010765633