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The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension

Camilleri, Silvio John - Volkswirtschaftliche Fakultät, … - 2015

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the National Stock Exchange of India (NSE) in June 1999, thus extending prior empirical work relating to this area. The realised volatility on NSE is compared with that of the Bombay...

Persistent link: https://www.econbiz.de/10011211859

Changes in the DOW effects in the Romanian foreign exchange market

Dumitriu, Ramona; Stefanescu, Razvan - Volkswirtschaftliche Fakultät, … - 2010

This paper explores the changes in the daily seasonality of the Romanian foreign market from January 2005 to February …

Persistent link: https://www.econbiz.de/10011258901

9/56 Year Cycle: Financial Panics

McMinn, David - Volkswirtschaftliche Fakultät, … - 1986

pattern. Seasonality was also observed within the 56 year sequences and within the 18/56 year grids. Artifact subcycles were …

Persistent link: https://www.econbiz.de/10011259428

Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange

Stefanescu, Razvan; Dumitriu, Ramona; Nistor, Costel - Volkswirtschaftliche Fakultät, … - 2009

In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day – of – the – week effect, which consists in significant differences from the average returns on some days of the week than others. This paper...

Persistent link: https://www.econbiz.de/10011260146

Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina

Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015

seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of … domestic supply of three agricultural commodities in Argentina between 1994 and 2008, which observe the patterns of seasonality … described, is presented. Although, some evidence of stochastic seasonality has been found in some of these series, in general a …

Persistent link: https://www.econbiz.de/10011266121

A Seasonality in the Pakistani Equity Market: The Ramadhan Effect

Husain, Fazal - Volkswirtschaftliche Fakultät, … - 1998

This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behavior of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time...

Persistent link: https://www.econbiz.de/10005260319

Turn - of - the - month effect on the Bucharest stock exchange

Stefanescu, Razvan; Dumitriu, Ramona - Volkswirtschaftliche Fakultät, … - 2011

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...

Persistent link: https://www.econbiz.de/10009647364

Seasonal cycles in the housing market

Selcuk, Cemil - Volkswirtschaftliche Fakultät, … - 2012

The housing market exhibits a puzzling yet repetitive seasonal boom and bust cycle where prices and trade volume rise in summers and fall in winters. This paper presents a search model that analytically generates the observed deterministic cycle.

Persistent link: https://www.econbiz.de/10009647383

Seasonal and Periodic Long Memory Models in the In�ation Rates

Ben Nasr, Adnen; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2005

deterministic seasonality, the ARFISMA model, and the periodic ARFIMA (PARFIMA) model. These models are used to describe the … persistence is a common feature for inflation series. Note that neglecting the existence of additive outliers may possibly biased …

Persistent link: https://www.econbiz.de/10008595907

Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data

Yucel, Eray M. - Volkswirtschaftliche Fakultät, … - 2005

The effects of a specific religious tradition on the food prices establish the central theme of this paper. In specific, I investigate whether the month Ramadan has any effect on food prices. I perform the analysis under two alternative calendar conventions, namely the Gregorian and Hijri...

Persistent link: https://www.econbiz.de/10005837100