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Financial development and economic growth : evidence from ten new EU members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009

This paper reviews the main features of the banking and financial sector in ten new EU members, and then examines the relationship between financial development and economic growth in these countries by estimating a dynamic panel model over the period 1994-2007. The evidence suggests that the...

Persistent link: https://www.econbiz.de/10003889597

On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007 - 2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013

, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 … Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite … direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These …

Persistent link: https://www.econbiz.de/10009735730

Islamic banking, credit and economic growth : some empirical evidence

Caporale, Guglielmo Maria; Helmi, Mohamad Husam - 2016

This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including bothIslamic and conventional banks. Unlike previous studies, it...

Persistent link: https://www.econbiz.de/10011411703

Multi-factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10003832660

Selectivity, market timing and the Morningstar star-rating system

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009

This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...

Persistent link: https://www.econbiz.de/10003823971

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by...

Persistent link: https://www.econbiz.de/10003968659

Are stock and housing returns complements or substitutes? : evidence from OECD countries

Caporale, Guglielmo Maria; Souza, Ricardo M. - 2011

In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence...

Persistent link: https://www.econbiz.de/10009579643

The PPP hypothesis revisited : evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...

Persistent link: https://www.econbiz.de/10009735759

Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010467097

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010438074