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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
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Is the relationship between financial development and economic growth monotonic? : evidence from a sample of middle income countries
Samargandi, Nahla; Fidrmuc, Jan; Ghosh, Sugata - 2014
We revisit the relationship between financial development and economic growth in a panel of 52 middle income countries over the 1980-2008 period, using pooled mean group estimator in a dynamic heterogeneous panel setting. We show that financial development does not have a linear positive...
Persistent link: https://www.econbiz.de/10010340261
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Stock markets, banks and long run economics growth : a panel cointegration-based analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …
Persistent link: https://www.econbiz.de/10010223077
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The short-run and long-run effects of trade openness on financial development : some panel evidence for Europe
Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, … - 2021
This paper analyses the short- and long-run effects of trade openness on financial development in a panel including data on 35 European countries over the period 2001-2019. For this purpose, it uses the PMG (pooled mean group) estimator for dynamic panels developed by Pesaran et al. (1999). The...
Persistent link: https://www.econbiz.de/10012514560
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 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/10011392612
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009011784
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
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/10008732289
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A neglected semi-stylized fact of daily stock returns
Davies, Patrick Laurie; Krämer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10011444114
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Testing for persistence in German green and brown stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Solarin … - 2024
estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence …
Persistent link: https://www.econbiz.de/10014578571