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Brexit and uncertainty in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-9

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities...

Persistent link: https://www.econbiz.de/10011996086

The impact of Brexit on financial markets: Taking stock

Hohlmeier, Michaela; Fahrholz, Christian - In: International Journal of Financial Studies 6 (2018) 3, pp. 1-9

The UK's withdrawal from the EU will have far-reaching consequences on the European economy. However, the ultimate consequences of Brexit, especially for financial markets, depend on the final agreement, which is still under negotiation. Currently, regulated financial services can be provided...

Persistent link: https://www.econbiz.de/10011996131

Financial variables, market transactions, and expectations as functions of risk

Olkhov, Victor - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-27

This paper develops methods and a framework of financial market theory. We model financial markets as a system of agents which perform market transactions with other agents under the action of numerous expectations. Agents' expectations are formed of economic and financial variables, market...

Persistent link: https://www.econbiz.de/10013200244

The determinants of the U.S. consumer sentiment: Linear and nonlinear models

El Alaoui, Marwane; Bouri, Elie; Azoury, Nehme - In: International Journal of Financial Studies 8 (2020) 3, pp. 1-13

We examined the determinants of the U.S. consumer sentiment by applying linear and nonlinear models. The data are monthly from 2009 to 2019, covering a large set of financial and nonfinancial variables related to the stock market, personal income, confidence, education, environment,...

Persistent link: https://www.econbiz.de/10013200285

The impacts of international political and economic events on Japanese financial markets

Sultonov, Mirzosaid - In: International Journal of Financial Studies 8 (2020) 3, pp. 1-10

Information about the possibilities of changes in national and international macroeconomic variables affects the expectations and behavior of individuals and firms more quickly than real changes in those macroeconomic variables. In this research, we investigate the impacts of international...

Persistent link: https://www.econbiz.de/10013200290

Correlation between the DJSI Chile and the financial indices of Chilean companies

Chahuán-Jiménez, Karime - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-14

The Dow Jones Sustainability Index Chile (DJSI Chile) is made up of leading sustainability companies that are investing great effort into sustainable management. This study correlates the DJSI Chile with the financial indices (return on equity (ROE), return on assets (ROA), market value,...

Persistent link: https://www.econbiz.de/10013200321

Value investing and size effect in the South Korean stock market

Alfonso Perez, Gerardo Gerry - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-25

statistical point of view there are no strong evidence supporting the outperformance of value stocks versus growth stocks in South … Korea, particularly when measured on a yearly basis. These results were consistent using both MSCI value and growth indexes … as well as constructing portfolios using the P/E, P/B, cash flow per share and average 5-year sales growth. The …

Persistent link: https://www.econbiz.de/10011996096

Testing efficiency of the London Metal Exchange: New evidence

Park, Jaehwan; Lim, Byungkwon - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-10

This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in the LME is rejected based on the false...

Persistent link: https://www.econbiz.de/10011996097

The role of canceled warrants in the LME market

Park, Jaehwan - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-10

This article visits the question of whether canceled warrants (CWs) have a positive effect on LME metal prices. To examine this question carefully, a regression model is applied. This paper finds a statistically significant positive link between CWs and LME metal prices, including aluminum,...

Persistent link: https://www.econbiz.de/10013200188

Effect of speculators' position changes on the LME futures market

Park, Jaehwan - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-9

This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position changes of speculators, such as hedge...

Persistent link: https://www.econbiz.de/10013200210