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To see is to believe : common expectations in experimental asset markets
Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012
is as great as when training is absent. -- asset market experiment ; price bubbles ; common knowledge of rationality …
Persistent link: https://www.econbiz.de/10009631461
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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The EMBI in Latin America : Fractional Integration, Non-Linearities and Breaks
Caporale, Guglielmo Maria - 2015
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...
Persistent link: https://www.econbiz.de/10013009842
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...
Persistent link: https://www.econbiz.de/10003344606
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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …
Persistent link: https://www.econbiz.de/10011731909
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Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2021
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10013317393
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10013316133
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The Economics of Bitcoins -- Market Characteristics and Price Jumps
Gronwald, Marc - 2015
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10013030485
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The Economics of Bitcoins - Market Characteristics and Price Jumps
Gronwald, Marc - CESifo - 2014
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10011099050
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Market Depth, Leverage, and Speculative Bubbles
Enders, Zeno - 2019
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10012899999