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A survey of hedge and safe havens assets against G-7 stock markets before and during the COVID-19 pandemic
Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021
We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the …-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings … show that the hedging effectiveness of gold, Bitcoin, and crude oil varies overtime before the Covid-19 pandemic …
Persistent link: https://www.econbiz.de/10012705552
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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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Effectives of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2021
, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al …
Persistent link: https://www.econbiz.de/10012549189
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem (contributor);  … - 2007
addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …
Persistent link: https://www.econbiz.de/10003652679
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On measuring uncertainty : snakes and ladders
Junankar, Pramod N. - 2016
measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market …
Persistent link: https://www.econbiz.de/10011543578
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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …. This suggests that volatility contagion between these two markets continues to exist, thus emphasising the role of oil …; during COVID-19; and during the Russian-Ukrainian war. Our results confirm the persistence of volatility for the series …
Persistent link: https://www.econbiz.de/10014494631
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Does everyone use probabilities? : intuitive and rational decisions about stockholding
Binswanger, Johannes; Salm, Martin - 2013
We investigate the relationship between subjective probabilities of future stock market returns and decisions about stockholding. Specifically, we examine whether acting upon subjective probabilities is confined to individuals with high cognitive skills. We explore this question using data from...
Persistent link: https://www.econbiz.de/10009721396
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Knowledge spillovers, ICT and productivity growth
Corrado, Carol; Haskel, Jonathan; Jona-Lasinio, Cécilia - 2014
growth spillovers via mechanisms beyond those previously established for R&D. …
Persistent link: https://www.econbiz.de/10010374120
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An injury to one is an injury to all : terrorism's spillover effects on bilateral trade
Pham, Cong S.; Doucouliagos, Chris - 2017
stock measures of terrorism, and even for terrorist incidents with zero casualties. Spillovers from terrorism are relatively …
Persistent link: https://www.econbiz.de/10011694823
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Spillovers in criminal networks : evidence from co-offender deaths
Lindquist, Matthew J.; Patacchini, Eleonora; … - 2024
We study spillover effects within co-offending networks by leveraging deaths of co-offenders for causal identification. Our results demonstrate that the death of a co-offender significantly reduces the criminal activities of other network members. We observe a decaying pattern in the magnitude...
Persistent link: https://www.econbiz.de/10014580742