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Linkages between gold and Latin American equity markets: Portfolio implications

Yousaf, Imran; Hanif, Hasan; Ali, Shoaib; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 237-251

Purpose - The authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash. Design/methodology/approach - To examine the return and...

Persistent link: https://www.econbiz.de/10013192204

On the Stock-Yogo tables

Skeels, Christopher L.; Windmeijer, Frank - In: Econometrics 6 (2018) 4, pp. 1-23

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

Persistent link: https://www.econbiz.de/10011995234

Valorización de opciones reales: modelo Ornstein-Uhlenbeck

Tresierra, Álvaro; Carrasco Montero, Claudia Marilia - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 56-62

incertidumbre a través de la aplicación de opciones reales en la evaluación de inversiones en proyectos mineros. Asimismo, se … es que evaluar proyectos mediante el enfoque de opciones reales permite valorizar —en su real magnitud— los beneficios … metodología de valorización a través de opciones reales posibilita estructurar el pensamiento estratégico. …

Persistent link: https://www.econbiz.de/10011859390

Risk-managed time-series momentum: An emerging economy experience

Walia, Nidhi; Bekiros, Stelios; Gupta, Arushi; Kumar, … - In: Journal of Economics, Finance and Administrative Science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach....

Persistent link: https://www.econbiz.de/10014516450

Detecting and measuring nonlinearity

Kotchoni, Rachidi - In: Econometrics 6 (2018) 3, pp. 1-27

This paper proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components. We illustrate the method with the measurement...

Persistent link: https://www.econbiz.de/10011995224

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics 5 (2017) 1, pp. 1-38

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...

Persistent link: https://www.econbiz.de/10011755356

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011755370

Size premium, value premium and market timing: Evidence from an emerging economy

Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288

This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM)...

Persistent link: https://www.econbiz.de/10013192143

The Role of Liquidity in Asset Pricing: The Special Case of the Portuguese Stock Market

Del Mar Miralles Quirós, María; Miralles Quirós, … - In: Journal of Economics, Finance and Administrative Science 22 (2017) 43, pp. 191-206

Purpose – The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to...

Persistent link: https://www.econbiz.de/10011859404

Cultural communication differences in initial public offering documentation: The case of China

Irizarry Quintero, Anamari; Rodríguez Ramírez, Javier; … - In: Journal of Economics, Finance and Administrative Science 28 (2023) 55, pp. 197-210

Purpose - Written communication differences across cultures can set the tone for effective or disastrous business relationships. Although English has been the go-to language in business, managers from different countries can significantly differ in how they convey the firms' information. This...

Persistent link: https://www.econbiz.de/10014516416