Narrow search
Showing 1 - 10 of 2,038
Cover Image
Dynamic Spending Responses to Wealth Shocks : Evidence from Quasi-Lotteries on the Stock Market
Andersen, Asger Lau; Johannesen, Niels; Sheridan, Adam - 2021
How much and over what horizon do households adjust their consumption in response to stock market wealth shocks? We …
Persistent link: https://www.econbiz.de/10013219064
Cover Image
Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
Cover Image
A Theory of Indifference Based on Status-Seeking Behaviour
Marjit, Sugata; Dastidar, Krishnendu Ghosh; Pandey, … - 2023
psychology and economic theory literature on the causes and consequences of status-seeking behaviour. It integrates the idea in a …
Persistent link: https://www.econbiz.de/10014357028
Cover Image
Currency Portfolio of External Debt, Exchange Rate Cyclicality, and Consumption Volatility
Fujii, Eiji - 2020
exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …
Persistent link: https://www.econbiz.de/10012833738
Cover Image
The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
Cover Image
Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
Cover Image
Liberalization and Stock Market Co-Movement between Emerging Economies
Beine, Michel A. R.; Candelon, Bertrand - 2021
In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...
Persistent link: https://www.econbiz.de/10013316796
Cover Image
Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …
Persistent link: https://www.econbiz.de/10014347820
Cover Image
Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
Cover Image
Optimal Redistributive Wealth Taxation When Wealth is More than Just Capital
Franks, Max - 2020
We show how normative standpoints determine optimal taxation of wealth. Since wealth is not equal to capital, we find …
Persistent link: https://www.econbiz.de/10012841621