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Schmidt-Engelbertz, Paul; Vasudevan, Kaushik - 2024

find that investors' higher order beliefs provide substantial motivations for non-fundamental speculation, e.g., to buy …

Persistent link: https://www.econbiz.de/10014583801

Liberalization and stock market co-movement between emerging economies

Beine, Michel (contributor); Candelon, Bertrand (contributor) - 2007

Persistent link: https://www.econbiz.de/10003620171

Global and regional financial integration in emerging Asia : evidence from stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...

Persistent link: https://www.econbiz.de/10011654611

Financial integration in the GCC region : market size versus national effects

Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019

This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...

Persistent link: https://www.econbiz.de/10012026436

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003499554

Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

Persistent link: https://www.econbiz.de/10011982404

Expectations and speculation in the natural gas markets

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure expectations-driven speculative demand three approaches are followed, which are based respectively on using natural gas inventories consistently with the theory of storage (Kilian and...

Persistent link: https://www.econbiz.de/10015065319

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...

Persistent link: https://www.econbiz.de/10011392621

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

Speculative eurozone attacks and departure strategies

Homburg, Stefan - 2018

This paper shows that the eurozone payment system does not effectively protect member states from speculative attacks. Suspicion of a departure from the common currency induces a terminal outflow of central bank money in weaker member states. TARGET2 cannot inhibit this drain but only protects...

Persistent link: https://www.econbiz.de/10011931367

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