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The impact of the securities transaction taxes on the Chinese stock market
Su, Yongyang - Volkswirtschaftliche Fakultät, … - 2010
return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …
Persistent link: https://www.econbiz.de/10008506118
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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …
Persistent link: https://www.econbiz.de/10011114116
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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The determinants of home bias puzzle in equity portfolio investment in Australia
Vo, Xuan Vinh - Volkswirtschaftliche Fakultät, … - 2008
Over the past decades, there is an increased trend in the international financial integration as countries are removing and relaxing controls on cross-border investment. Capital can flow easily to the destination that offers higher returns as the results of decreasing obstacles to international...
Persistent link: https://www.econbiz.de/10008740593
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The determinants of home bias puzzle in equity portfolio investment in Australia
Vo, Xuan Vinh - Volkswirtschaftliche Fakultät, … - 2008
Over the past decades, there is an increased trend in the international financial integration as countries are removing and relaxing controls on cross-border investment. Capital can flow easily to the destination that offers higher returns as the results of decreasing obstacles to international...
Persistent link: https://www.econbiz.de/10011257801
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Impact of Commodities Transaction Tax on Indian Commodity Futures
Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2015
the price volatility and increase tax revenue, whether it will actually be able to achieve the objectives is debatable. It … CTT on returns and volatility of commodity portfolios. …
Persistent link: https://www.econbiz.de/10011261161
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Revisiting the empirical linkages between stock returns and trading volume
Chen, Shiu-Sheng - Volkswirtschaftliche Fakultät, … - 2012
This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return–volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading...
Persistent link: https://www.econbiz.de/10009650676
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Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity
Subhani, Muhammad Imtiaz; Osman, Ms. Amber - Volkswirtschaftliche Fakultät, … - 2011
In the financial market the very peculiar and key focus is about the trading volume response to Consumer price index (CPI). Therefore, taking CPI as one of the important economic variables, the Karachi Stock Exchange-100 index trading volume was investigated in connection with the CPI. The...
Persistent link: https://www.econbiz.de/10009369596
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Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)
Hasan, Syed Akif; Subhani, Muhammad Imtiaz - Volkswirtschaftliche Fakultät, … - 2011
Stock Markets are the indicators of economic activity taking place in an economy. There are multiple factors that can affect the performance of a Stock market. Besides the economical factors, the human behavior, the mood, willingness to pay and consumption patterns of people also plays an...
Persistent link: https://www.econbiz.de/10009369631
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Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data
Subhani, Muhammad Imtiaz; Osman, Amber; Gul, Ameet - Volkswirtschaftliche Fakultät, … - 2010
This study examined monthly KSE-100 index trading volume response to announcements about Consumer price index (CPI) in the period of January 2004 to august 2009. Regression results supported the hypothesis that change in CPI has significant association with the change in KSE 100 index trading...
Persistent link: https://www.econbiz.de/10008693994