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FREQUENCY ASPECTS OF INFORMATION TRANSMISSION IN NETWORKS OF EQUITY MARKETS

Roesch, Angi; Schmidbauer, Harald; Uluceviz, Erhan - EcoMod Network - 2014

The dating of cyclical phenomena in economies, such as business cycles, is at the core of economic policy research. Moreover, policy decisions which are due to affect interacting economies should take into account the economies' connectedness and synchronicity. The cross-country analysis of...

Persistent link: https://www.econbiz.de/10010886647

ESTIMATION OF VECTOR ERROR CORRECTION MODEL WITH GARCH ERRORS: MONTE CARLO SIMULATION AND APPLICATIONS

Setiawan, Kusdhianto; Maekawa, Koichi - EcoMod Network - 2014

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

Persistent link: https://www.econbiz.de/10010886654

Individual investors’ stock buying behavior: Does experience matter in a developing economy stock market.

Agbontaen, Osaro; Okonedo, Enase - EcoMod Network - 2014

Investigate how retail investors determine their stock trading through experience to achieve the desired portfolio returns. To examine how retail investors coordinate their expected returns and perceived risk. Verify how retail investors’ trade potentials augment transactions on the stock...

Persistent link: https://www.econbiz.de/10010886661

The role of microfinance institutions in supporting women microenterprises in urban Sudan

Siddig, Khadra Hassan; Hegazi, Mohamed Osman - EcoMod Network - 2014

finance was less than the proposed rate of 12% of the inflow of finance, which was specified by the bank. It is also revealed … findings of the survey reported that the lack of funds to finance investment or ongoing business operations is one of the main … or financial institutions. Nonetheless, all interviewees underlined their need for finance as a major constraint …

Persistent link: https://www.econbiz.de/10010888986

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - EcoMod Network - 2014

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012.GARCH modeling of sovereign bond yields and...

Persistent link: https://www.econbiz.de/10010902601

Lyon Taming by the IRS: Evidence on Tax Deductions

Nayar, Nandkumar - EcoMod Network - 2014

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Persistent link: https://www.econbiz.de/10010902604

Competitive Advantages and Performance of Banks in India In Post Reforms Period: Application of Diamond Theory

Tapiawala, Medha - EcoMod Network - 2014

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Persistent link: https://www.econbiz.de/10010902612

Linking Distress of Financial Institutions to Macrofinancial Shocks

Mauro, Filippo di; Al-Haschimi, Alexander; Dees, Stephane; … - EcoMod Network - 2014

This paper links granular data of financial institutions to global macroeconomic variables using an infinite-dimensional vector autoregressive (IVAR) model framework. This framework is used to assess the impact of foreign macroeconomic shocks on default risks of euro area financial firms. In...

Persistent link: https://www.econbiz.de/10010902621

Determinants of Capital Structure: Evidence from a Major Developing Economy

Köksal, Bülent; Orman, Cüneyt - EcoMod Network - 2014

Our paper uses a new and comprehensive dataset to investigate the capital structure of non-financial firms in a major emerging market economy, Turkey. We study both statistical and economic significance of four types of leverage factors: Firm-specific, tax-related, industry specific,and...

Persistent link: https://www.econbiz.de/10010902625

Determinant of Capital Ratio: A Panel Data Analysis on State-owned Banks in Indonesia

Raharjo, Pamuji Gesang; Hakim, Dedi Budiman; Manurung, … - EcoMod Network - 2014

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Persistent link: https://www.econbiz.de/10010902638