Narrow search
Showing 1 - 10 of 93
Cover Image
Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
Klein, A.; Urbig, D.; Kirn, S. - Volkswirtschaftliche Fakultät, … - 2008
markets are largely unobservable. We take an estimation perspective to obtain daily time series of fractions of chartists and … fundamentalists among market participants. We estimate the heterogeneous agent-based financial market model introduced by Lux and … frequency is yearly. We find support for Boswijk et al.’s key finding of a large fraction of chartists during the end of 1990s …
Persistent link: https://www.econbiz.de/10005835845
Cover Image
Memory and Asset Pricing Models with Heterogeneous Beliefs
Verbic, Miroslav - Volkswirtschaftliche Fakultät, … - 2006
trading. In order to obtain an insight into this matter two cases were analyzed; a two-type case of fundamentalists versus … contrarians and a three-type case of fundamentalists versus opposite biases. It has been established that increasing memory … for fundamentalists. Apparently some (strong) trend extrapolator beliefs are needed in order to trigger chaotic asset …
Persistent link: https://www.econbiz.de/10005789598
Cover Image
Impact of Commodities Transaction Tax on Indian Commodity Futures
Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2015
The Commodity Futures Market is an instrument to achieve price discovery of commodities. The Government of India introduced the Commodities Transaction Tax of 0.01 per cent payable on seller for derivative transactions on 1 July 2013. This tax in line with the earlier tax imposed on transactions...
Persistent link: https://www.econbiz.de/10011261161
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Indicators for the analysis of the evolution of the stock exchange
Alexandru, Ciprian Antoniade - Volkswirtschaftliche Fakultät, … - 2008
This paper comprises a study of the general indicators used for the overall evaluation of the performance of the stock exchange in Romania. Due to these indicators, investors can assess the volume and the dynamics of the respective market. Irrespective of whether the categories are considered...
Persistent link: https://www.econbiz.de/10005836806
Cover Image
The impact of the securities transaction taxes on the Chinese stock market
Su, Yongyang - Volkswirtschaftliche Fakultät, … - 2010
This paper analyzes the impact of changes in the securities transaction tax (STT) rate on the local A-shares market in China. We find that, on average, a 22-base-point- increase in the STT rate is associated with about a 28% drop in trading volume, while a 17-base-point- reduction in the STT...
Persistent link: https://www.econbiz.de/10008506118
Cover Image
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 financial market. In this study, the joint dynamics is...
Persistent link: https://www.econbiz.de/10011114116