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Carry Trades and Global FX Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Volkswirtschaftliche Fakultät, … - 2009
return spread in five carry trade portfolios. Further analyses show that: (i) liquidity risk also matters for excess returns …
Persistent link: https://www.econbiz.de/10005836150
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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …
Persistent link: https://www.econbiz.de/10005786918
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Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model
Sinha, Pankaj; Sharma, Sakshi; Sondhi, Kriti - Volkswirtschaftliche Fakultät, … - 2013
The most pernicious effect of the global financial crisis is that it triggers a sequence of unpleasant consequences for the banking sector and for the entire economy as a whole. The recent financial crisis has compelled regulators to focus on the necessity of resilience of banks towards risks...
Persistent link: https://www.econbiz.de/10011259139
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Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms
Douch, Mohamed; Essaddam, Naceur - Volkswirtschaftliche Fakultät, … - 2011
Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...
Persistent link: https://www.econbiz.de/10011112936