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Testing the covariance stationarity of CEE stocks
Lyócsa, Štefan; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2012
do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility …
Persistent link: https://www.econbiz.de/10011259974
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Sovereign risk and debt sustainability: warning levels for Romania
Zaman, Gheorghe; Georgescu, George - Volkswirtschaftliche Fakultät, … - 2011
Despite the governments took rescue and/or stimulus packages, signs of recovery occurring in 2009 and 2010, the global growth sustainability seems uncertain. Romania was hit hard by the crisis, suffering a severe contraction of the economy, estimated at 7.1 percent in 2009. The worsening of the...
Persistent link: https://www.econbiz.de/10009277873
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Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
El Ghini, Ahmed; Saidi, Youssef - Volkswirtschaftliche Fakultät, … - 2014
estimation results of bivariate VAR-BEKK GARCH model, we analyze the return and volatility spillover effects between the Moroccan …The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U …
Persistent link: https://www.econbiz.de/10011109176
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Exploring Diversification Benefits in Asia-Pacific Equity Markets
Mensah, Jones Odei; Premaratne, Gamini - Volkswirtschaftliche Fakultät, … - 2014
This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...
Persistent link: https://www.econbiz.de/10011109444
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Virtual Integration of Financial Markets: A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market
Mellado, Cristhian; Escobari, Diego - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the role of virtual integration of financial markets on stock market return co-movements. In May of 2011 the Chilean, Colombian, and Peruvian stock markets virtually integrated their stock exchanges and central securities depositories to form the Latin American Integrated...
Persistent link: https://www.econbiz.de/10011112896
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Assessing the readiness of BRICS grouping for mutually beneficial financial integration
Bonga-Bonga, Lumengo - Volkswirtschaftliche Fakultät, … - 2014
This paper assesses the extent of the transmission of equity market volatility shocks between BRICS (Brazil, Russia … (2012) to this end. Nonetheless, the paper extends this methodology by making use of ex ante volatility measures that …
Persistent link: https://www.econbiz.de/10011114206
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Agricultural commodities and financial markets
Modena, Matteo - Volkswirtschaftliche Fakultät, … - 2011
The sharp raise of the price of agricultural commodities between 2006 and 2008 seems to have a rationalization that goes beyond the mere interaction between supply and demand. Data evidence suggests that financial factors, rather than real determinants, played an important role in determining...
Persistent link: https://www.econbiz.de/10009647367
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The Us Dollar, the Euro, and the Yen : An Evaluation of Their Present and Future Status as International Currencies
Beckmann, Rainer - 2010
The paper evaluates the present and future international currency status of the US dollar, the euro and the yen. In section two the functions, benefits, and costs of a leading international currency are discussed. In section three key determinants for the continuous dominance of the US dollar...
Persistent link: https://www.econbiz.de/10013136590
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Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2011
This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity … investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit … loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice …
Persistent link: https://www.econbiz.de/10008794663
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Forward-Looking Beta Estimates:Evidence from an Emerging Market
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2008
Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...
Persistent link: https://www.econbiz.de/10004961496