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Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

The Changing Malaysian Financial Environment and the Effects on Its Monetary Policy Transmission Mechanism

Raghavan, Mala Valliammai - Econometric Society - 2004

In recent times, economists concur that economy's response to monetary policy is somewhat weaker then they were in the past. However, the cause of such change remains an open issue. One plausible reason for this change could be attributed to the financial reform processes that have brought...

Persistent link: https://www.econbiz.de/10005342178

Rational Panics, Absorbing Regime Switching and Stock Market

CHEN, Dengta; ZHOU, Yinggang - Econometric Society - 2004

A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzleÂ— the so called Â“state-share paradox.Â”The empirical evidence shows...

Persistent link: https://www.econbiz.de/10005086425

The Growth of Global Equity Markets: A Closer Look

Li, Kai - Econometric Society - 2004

This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...

Persistent link: https://www.econbiz.de/10005063590

Pareto Improving Taxation in Incomplete Markets

Turner, Sergio - Econometric Society - 2004

When asset markets are incomplete there are almost always many Pareto improving policy interventions, provided there are multiple commodities and households. Remarkably, these interventions do not involve adding any new markets. Focusing on tax policy, I create a framework for proving the...

Persistent link: https://www.econbiz.de/10005702672

Expiration Day Effect in Korean Stock Market: Wag the Dog?

Park, Chang-Gyun; Lim, Kyung-Mook - Econometric Society - 2004

volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration … by call auction during the last 10 minutes after the trades for matured derivatives are finalized. We analyze typical … expiration day effects such as price, volatility, and volume effects. With high frequency data, we find that there are strong …

Persistent link: https://www.econbiz.de/10005702728

Rational Panics, Absorbing Regime Switching And Stock Market

ZHOU, Yinggang - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005702742

The Equity Premium and the Baby Boom

Brooks, Robin - Econometric Society - 2004

This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...

Persistent link: https://www.econbiz.de/10005328938

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004

We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...

Persistent link: https://www.econbiz.de/10005328948

Liquidity Premia in Dynamic Bargaining Markets

duffie - Econometric Society - 2004

This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing of liquidity with a simple linear formula: In...

Persistent link: https://www.econbiz.de/10005328954