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Predicting the sensitivity of trading intensity to investor sentiments and beliefs: Evidence from the French stock market

Bekiros, Stelios; Dhaoui, Abderrazak; Khraief, Naceur - Institut de Préparation à l'Administration et à la … - 2014

In this study we show that investor sentiment plays a key role in explaining trading intensity and market trend changes. Based on both econometric and fuzzy logic approaches, the empirical findings demonstrate that pessimistic sentiment has a particularly significant impact on the French...

Persistent link: https://www.econbiz.de/10010754763

Les bulles spéculatives et le marché de l’immobilier

Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014

L’évaluation du prix des actifs est un problème récurrent en économie. Cette question se pose dans le domaine de l’immobilier comme dans d’autres domaines. Après une très forte phase de croissance, le marché immobilier américain a été touché à partir du mois de juin 2007 par...

Persistent link: https://www.econbiz.de/10010796406

Can Information Demand Help to Predict Stock Market Liquidity ? Google it !

Arouri, Mohamed; Aouadi, Amal; Foulquier, Philippe; … - Institut de Préparation à l'Administration et à la … - 2013

Numerous recent studies indicate that investors’ information demand affects stock market return and volatility. In this …

Persistent link: https://www.econbiz.de/10010754767

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

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2013

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive 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/10010754801

Is there a difference between domestic and foreign risk premium? The case of China Stock Market

Teulon, Frédéric; Guesmi, Khaled; Fattoum, Salma - Institut de Préparation à l'Administration et à la … - 2014

-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing …

Persistent link: https://www.econbiz.de/10010754808

Pareto optima and exchange rates under risk neutrality: A note

Bosi, Stefano; Fontaine, Patrice; Van, Cuong Le - Institut de Préparation à l'Administration et à la … - 2014

In this note, we present a wealth model of a two-country economy where ffnancial assets and goods are traded. We consider the case where the agents are risk neutral, a very common assumption in ffnance in order to have explicit solutions for prices, and in particular in international ffnance for...

Persistent link: https://www.econbiz.de/10010860474

Arbitrage and asset market equilibrium in finite dimensional economies with short-selling and risk-averse expected utilities

Ha-Huy, Thai; Van, Cuong Le - Institut de Préparation à l'Administration et à la … - 2014

We consider a model with an finite number of states of nature where short sells are allowed.

Persistent link: https://www.econbiz.de/10010860565

Efficient allocations and Equilibria with short-selling and Incomplete Preferences

Dana, R.A; Van, Cuong Le - Institut de Préparation à l'Administration et à la … - 2014

This article reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are unbounded below under the assumption that agents have incomplete preferences. It is motivated by an example in the theory of assets with short-selling where there is risk and...

Persistent link: https://www.econbiz.de/10011161640

Instabilities in the relationships and hedging strategies between crude oil and US stock markets: do long memory and asymmetry matter?

Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

This article uses the DCC-FIAPARCH model to examine the time-varying properties of conditional return and volatility of … both the long memory and asymmetric behavior characterize the conditional volatility of oil and stock market returns. On … of the DCC-FIAPARCH model that explicitly accounts for long memory and asymmetric volatility effects enables the …

Persistent link: https://www.econbiz.de/10010891048

Are there long-run diversification gains from the Dow Jones Islamic Finance Index?

Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; … - Institut de Préparation à l'Administration et à la … - 2014

We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

Persistent link: https://www.econbiz.de/10010891061