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Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test
Czudaj, Robert; Beckmann, Joscha - In: Economics Bulletin 32 (2012) 2, pp. 1695-1707
should be an unbiased estimator of next period´s spot price under the joint assumption of risk neutrality and rationality …
Persistent link: https://www.econbiz.de/10011278691
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Risk Parity in the Brazilian Market
de Souza, Pierre - 2017
Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity … portfolio strategy, since portfolio variance is considered as risk measure. Empirical results demonstrate that the risk parity … different estimators of the covariance matrix had little influence on the results obtained through the risk parity approach …
Persistent link: https://www.econbiz.de/10012952118
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Spillover Effects of Chinese Stock Markets
Yang, Ginny ju-ann; Chang, Koyin; Ying, Yung-Hsiang; … - In: Economics Bulletin 34 (2014) 1, pp. 200-205
This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was...
Persistent link: https://www.econbiz.de/10010737504
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Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours
Hsu, Chih-hsiang; Kao, Ming-sung; Tsai, Wei-pen - In: Economics Bulletin 34 (2014) 3, pp. 1733-1741
This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the...
Persistent link: https://www.econbiz.de/10010884989
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Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data
Filbien, Jean-yves; Labondance, Fabien; Echinard, Yann - In: Economics Bulletin 33 (2013) 2, pp. 1170-1176
We empirically investigate the determinants of sovereign bond spreads in the euro area since the beginning of the crisis. We combine economic but also political uncertainty variables for three different groups of countries. We took into account an institutional shift in the spring 2010. Before...
Persistent link: https://www.econbiz.de/10010835903
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Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market
Silva, Sergio Da; Figueiredo, Annibal; Gleria, Iram; … - In: Economics Bulletin 7 (2007) 1, pp. 1-11
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted...
Persistent link: https://www.econbiz.de/10010835999
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Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model
Liew, Venus Khim-Sen; Wong, Wing-Keung; Qiao, Zhuo - In: Economics Bulletin 6 (2007) 27, pp. 1-7
dominant role in affecting the volatility of world IT markets. However, our further analysis of the dynamic path of correlation …
Persistent link: https://www.econbiz.de/10010836069
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Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications
Bouri, Elie I - In: Economics Bulletin 33 (2013) 2, pp. 1575-1593
This paper examines the conditional volatility and return linkages for the equity markets of Morocco, Tunisia, Egypt, Israel, Lebanon, Jordan, Kuwait, Bahrain, Qatar, UAE, Saudi Arabia, and Oman over the period 2005-2012. To this end, we employ a multivariate model with time varying conditional...
Persistent link: https://www.econbiz.de/10010836182
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Does liquidity in the FX market depend on volatility?
Westerhoff, Frank; Manzan, Sebastiano - In: Economics Bulletin 6 (2004) 10, pp. 1-8
We re-examine the relationship between exchange rates and order flow as proposed by Evans and Lyons (2002). Compared to their linear specification, we find that the response of exchange rates to order flow may depend on market historical volatility. If market historical volatility is high, a...
Persistent link: https://www.econbiz.de/10010836299
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Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market
Silva, Sergio Da; Figueiredo, Annibal; Gleria, Iram; … - In: Economics Bulletin 7 (2007) 1, pp. 1-11
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted...
Persistent link: https://www.econbiz.de/10005094549