Showing 1 - 10 of 13
It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...
Persistent link: https://www.econbiz.de/10009673701
This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...
Persistent link: https://www.econbiz.de/10009741543
of these countries. The empirical results are important for investors and traders since they can use past information in …
Persistent link: https://www.econbiz.de/10009741562
information we employ two econometric models which are estimated in framework of maximum likelihood, GARCH, and vector …
Persistent link: https://www.econbiz.de/10009743497
Decline in confidence in free market mechanisms in the past decade has provoked an increase in interest in regulatory issues. This paper seeks to answer one question: Are exchange listing rules an effective screening mechanism? Using a sample of IPO firms listing on major U.S. exchanges in...
Persistent link: https://www.econbiz.de/10009673044
Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...
Persistent link: https://www.econbiz.de/10009537793
The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...
Persistent link: https://www.econbiz.de/10009539633
The Securities and Futures Bureau (SFB) of Taiwan prescribes that firms applying for an initial listing after February 2002 must have at least two seats of independent directors (IDs) on the board. Under the SFB 2002 rules, this paper investigates the effect of such governance reforms in ID...
Persistent link: https://www.econbiz.de/10009540028
Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...
Persistent link: https://www.econbiz.de/10009241458
Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...
Persistent link: https://www.econbiz.de/10009241516