Narrow search
Showing 1 - 10 of 12
Cover Image
An empirical study on tactical asset allocation and forecasting
Rastogi, Vivek Raj; Vishvakarma, Niraj Kumar; Dhar, Joydip - In: International Journal of Economics and Business Research 4 (2012) 4, pp. 393-411
autoregressive conditional heteroskedasticity-autoregressive moving average (EGARCH-ARMA) for the defined asset classes. Daily spot … that the EGARCH-ARMA model is superior to the ARMA model in forecasting market returns. Several diagnostic tests were … research, we also compared the forecasting performance of autoregressive moving average (ARMA) and exponential generalised …
Persistent link: https://www.econbiz.de/10010669615
Cover Image
Rise of the 'tiger cub' economies: an empirical investigation of Southeast Asian stock market efficiency
Heng, Panha; Niblock, Scott J. - In: International Journal of Economics and Business Research 8 (2014) 4, pp. 474-489
This paper assesses the evolving efficiency status of Southeast Asian (SEA) 'tiger cub' stock markets. The weak-form efficient market hypothesis (EMH) is examined using daily price index data and variance ratio tests from 2000 to 2012. We also explore two diverse sub-periods of economic activity...
Persistent link: https://www.econbiz.de/10010944860
Cover Image
On the buying and selling behaviour of investor categories: evidence from Qatar
Ahmed, Walid M.A. - In: International Journal of Economics and Business Research 9 (2015) 3, pp. 292-315
This study sets out to identify the trading patterns of foreign investors versus those of Qatar's domestic counterparts. Specifically, two chief issues are addressed. First, whether the buyside and sellside behaviours of individual and institutional foreign investor groups are different from...
Persistent link: https://www.econbiz.de/10011266481
Cover Image
Effect of Indian politics on the Indian stock market
Dhodiya, Jayesh M.; Shah, Nirav - In: International Journal of Economics and Business Research 3 (2011) 3, pp. 253-261
The financial market always increases or decreases due to some information. At present, stock markets have been showing extremely unpredictable movement, which is only due to new pieces of information, and news or events. The economy of any country is evaluated by the stock market and this stock...
Persistent link: https://www.econbiz.de/10009352436
Cover Image
The price–volume relationship in Gulf Cooperation Council stock markets
Abdalla, Abdelgader M.A.; Al-Khouri, Ritab S. - In: International Journal of Economics and Business Research 3 (2011) 1, pp. 15-28
This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for the period spanning from 1 July 2004 to 3 September 2008. Granger...
Persistent link: https://www.econbiz.de/10009352448
Cover Image
Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia
Ibrahim, Mansor H. - In: International Journal of Economics and Business Research 3 (2011) 5, pp. 514-525
This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling....
Persistent link: https://www.econbiz.de/10009352459
Cover Image
Stocks selection in capital markets crisis: multi-criteria approach
Belak, Vinko; Barac, Zeljana Aljinovic; Vuko, Tina - In: International Journal of Economics and Business Research 3 (2011) 1, pp. 60-71
The aim of our research was to construct a multi-criteria model for rational investors at bear capital markets. This model should help individual investors in decision-making processes to select optimal stocks portfolios. Applying multi-criteria decision aid methods, three features of stocks...
Persistent link: https://www.econbiz.de/10009352461
Cover Image
Asymmetric and negative return-volatility relation: a behavioural explanation
Boujelbène-Abbes, Mouna; Salah, Ines Ben; Ellouze, … - In: International Journal of Economics and Business Research 6 (2013) 3, pp. 243-260
In this study we investigate the return-implied volatility relationship in the French market by considering the behavioural biases of representativeness, extrapolation and affect. We find a strong evidence of negative and asymmetric return-implied volatility relationship at daily frequency,...
Persistent link: https://www.econbiz.de/10010754854
Cover Image
REITs and inflation in the USA: results from cointegration tests
Basse, Tobias - In: International Journal of Economics and Business Research 4 (2012) 3, pp. 284-296
Examining US data, this study uses techniques of cointegration analysis to test whether real estate investment trusts (REITs) are a useful hedge against inflation. Johansen tests seem to indicate that REITs are cointegrated with the general price level. This is true for a broad REIT index as...
Persistent link: https://www.econbiz.de/10010669625
Cover Image
Random walks and market efficiency: evidence from Indian stock market
Tripathy, Naliniprava - In: International Journal of Economics and Business Research 6 (2013) 2, pp. 210-228
to March 2011. The study has used unit root test, autocorrelation test, runs test, GARCH (symmetric) EGARCH and TARCH …
Persistent link: https://www.econbiz.de/10010684349