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How does the economic uncertainty affect asset prices under normal and financial distress times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility …

Persistent link: https://www.econbiz.de/10013198932

Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10011731909

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders

Lin, Carl - 2011

The paper links finance theory to labor economics and political economy in the context of migration and immigration …

Persistent link: https://www.econbiz.de/10009308050

To see is to believe : common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10009631461

Mind, body, bubble! : psychological and biophysical dimensions of behavior in experimental asset markets

Butler, David J.; Cheung, Stephen L. - 2018

Asset market bubbles and crashes are a major source of economic instability and inefficiency. Sometimes ascribed to animal spirits or irrational exuberance, their source remains imperfectly understood. Experimental methods can isolate systematic deviations from an asset's fundamental value in a...

Persistent link: https://www.econbiz.de/10011870688

Corporate efficiency, credit status and investment

Quader, Manzur; Taylor, Karl - 2014

Using a panel of 1122 UK firms listed on the London Stock Exchange over the period of 1981 to 2009, endogenous switching regression models (SRM) incorporating a predicted corporate efficiency index are estimated in this paper in an effort to clarify the role of cash flow in examining the impact...

Persistent link: https://www.econbiz.de/10010379263

Volatility and growth : governments are key

Jetter, Michael - 2013

paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …

Persistent link: https://www.econbiz.de/10010228789

Expected inflation, sunspots equilibria and persistent unemployment fluctuations

Dufourt, Frédéric; Lloyd-Braga, Teresa; Modesto, Leonor - 2009

European unemployment rates. They also generate positive comovements in macroeconomic variables and a large relative volatility … fact that liquidity constrained workers, facing earnings uncertainty in the context of imperfect unemployment insurance …

Persistent link: https://www.econbiz.de/10003879337

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

Persistent link: https://www.econbiz.de/10003586562

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