Showing 1 - 10 of 66
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...
Persistent link: https://www.econbiz.de/10011278032
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...
Persistent link: https://www.econbiz.de/10011278127
We investigated whether differences in quality of firm-level corporate governance can explain the firm-level performance in a cross-section of companies listed at Karachi Stock Exchange. Therefore, we analysed the relationship between firm-level value as measured by Tobins Q and total Corporate...
Persistent link: https://www.econbiz.de/10009363281
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely : sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...
Persistent link: https://www.econbiz.de/10009363774
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...
Persistent link: https://www.econbiz.de/10009363801
With the introduction of the international accounting standards in Europe and dissemination of LDI (Liability Driven Investment) as a new investment standard, the investor demand for super-long end has been rising also in Japan. Under these circumstances, it is required that the Japanese...
Persistent link: https://www.econbiz.de/10009363818
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...
Persistent link: https://www.econbiz.de/10009363828
A recursive regression methodology is used to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. Seven relevant financial series...
Persistent link: https://www.econbiz.de/10009363843
Previous studies on the office market tend to focus on either the rental market or the aggregate sale market. This paper focuses on the intra-metropolitan sale market and the office price and trading volume dynamics in Hong Kong. Buildings with higher prices are not necessarily being traded...
Persistent link: https://www.econbiz.de/10009363845
This study examines the effect of the earthquake of October 8, 2005 on the price behaviour and activities of KSE. Sixty firms are selected from those listed on Karachi Stock Exchange, and the results are informative about the price behaviour of the stock market in response to unanticipated...
Persistent link: https://www.econbiz.de/10009363851