Showing 1 - 10 of 75
The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....
Persistent link: https://www.econbiz.de/10010754711
This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an...
Persistent link: https://www.econbiz.de/10010786598
We study performance of Islamic and conventional indices of the Gulf Cooperation Council (GCC) countries in the wake of financial crisis of 2008 and test whether Islamic indices were less risky than conventional indices. We make use of data of the six GCC markets as well as the Dow Jones Islamic...
Persistent link: https://www.econbiz.de/10010786602
In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula functions that allow for measuring both average and tail...
Persistent link: https://www.econbiz.de/10010891097
The paper analyses the time-varying conditional correlations between stock markets and oil
Persistent link: https://www.econbiz.de/10010860458
This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...
Persistent link: https://www.econbiz.de/10010860502
The aim of this research is to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme (EU ETS) during 2005-2012. More speci fically, by relying on the daily EU allowance (EUA) futures contract, we investigate the structural changes of...
Persistent link: https://www.econbiz.de/10010860508
We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...
Persistent link: https://www.econbiz.de/10010860525
The two major banks in Cyprus - Bank of Cyprus and Laiki Popular Bank - have lost more than 4 billion EUR because of their exposure to the Greek bond market. In this paper, we look at how the European Union has responded to banking and financial problems that have affected Cyprus since the end...
Persistent link: https://www.econbiz.de/10010860536
Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory
Persistent link: https://www.econbiz.de/10010860541