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Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928

Stock Markets and Real Exchange Rate : An Intertemporal Approach

Mercereau, Benoît - 2003

The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such...

Persistent link: https://www.econbiz.de/10014400145

Monetary Policy and Asset Prices : Does ""Benign Neglect"" Make Sense?

Jeanne, Olivier - 2002

The link between monetary policy and asset price movements has been of perennial interest to policymakers. In this paper, we consider the potential case for preemptive monetary restrictions when asset price reversals can have serious effects on real output. First, we present some stylized facts...

Persistent link: https://www.econbiz.de/10014401453

Informational Efficiency in Developing Equity Markets

McDermott, C. John - 1995

The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first...

Persistent link: https://www.econbiz.de/10014397956

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Richards, Anthony J. - 1996

. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or …

Persistent link: https://www.econbiz.de/10014398639

International Integration of Equity Markets and Contagion Effects

Cashin, Paul - 1995

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of...

Persistent link: https://www.econbiz.de/10014397857

Have Institutional Investors Destabilized Emerging Markets?

Aitken, Brian J. - 1996

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...

Persistent link: https://www.econbiz.de/10014396325

Asset price bubbles : a selective survey

Scherbina, Anna - 2013

Persistent link: https://www.econbiz.de/10009726553

Japanese Banks and the Asset Price ""Bubble""

Fries, Steven M. - 1993

With the recent collapse of the asset price “bubble,” Japanese banks encountered significant pressure from both a sharp decline in the value of equity holdings and a marked increase in bad loans. In August 1992, the Government initiated measures that stabilized equity prices and assisted...

Persistent link: https://www.econbiz.de/10014396132

Asset Price Bubbles : A Selective Survey

Scherbina, Anna - 2013

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature … on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard … insights for how bubbles are initiated and sustained, the reasons they burst, and why arbitrage forces do not routinely step in …

Persistent link: https://www.econbiz.de/10014395388

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