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Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements
Krieger, Kevin; Mauck, Nathan; Vasquez, Joseph - Volkswirtschaftliche Fakultät, … - 2014
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate … that VIX declines on FOMC meetings days. We present new findings that indicate that VDAX declines on FOMC meeting days, but … is not related to ECB meeting days. VIX is unrelated to ECB meeting days. Taken collectively, our results indicate a …
Persistent link: https://www.econbiz.de/10011114294
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Was the Korean slave market efficient?
Brezis, Elise S.; Kim, Heeho - Volkswirtschaftliche Fakultät, … - 2009
Over the decades, the traditional condemnation of slavery has been based not only on philosophical argumentation and moral values, but also on the conjecture that slavery was inefficient. This position led to one of the most passionate debates in economic history on the efficiency of the US...
Persistent link: https://www.econbiz.de/10005836942
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Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE
Stefanescu, Razvan; Dumitriu, Ramona; Nistor, Costel - Volkswirtschaftliche Fakultät, … - 2012
Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...
Persistent link: https://www.econbiz.de/10011258533
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Reactions of the capital markets to the shocks before and during the global crisis
Dumitriu, Ramona; Stefanescu, Razvan; Nistor, Costel - Volkswirtschaftliche Fakultät, … - 2012
This paper explores reactions to the stock markets shocks during quiet and turbulent times. In our investigation we use daily values of 28 stock exchanges indexes: 14 from developed markets and 14 from emerging markets. We find the global crisis induced, for most of the indexes, significant...
Persistent link: https://www.econbiz.de/10011112640
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Crise systémique et régulation financière
ULGEN, Faruk - Volkswirtschaftliche Fakultät, … - 2010
One of the privileged explanations of the current crisis is the sophistication and the weak transparency of financial markets which would have allowed speculative behavior to elude authorities’ supervision. This article develops a different view by putting the emphasis on the model of...
Persistent link: https://www.econbiz.de/10009402053
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Office Rent Determinants: A Hedonic Panel Analysis
Fuerst, Franz - Volkswirtschaftliche Fakultät, … - 2007
It has been frequently observed that office markets are subject to particularly high fluctuations in rents and vacancy levels, thus exposing real estate investors to considerable risk regarding expected future income streams. This paper analyzes the determinants of office rents and their...
Persistent link: https://www.econbiz.de/10005616597
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Long memory and non-linearity in Stock Markets
Bond, Derek; Dyson, Kenneth - Volkswirtschaftliche Fakultät, … - 2006
In this paper the long memory and non-linear properties of share prices in the UK’s Stock Exchange and AIM are explored. The results suggest that the most commonly traded shares exhibit long memory thus raising interesting issues about the validity of normal assumptions of market efficiencies.
Persistent link: https://www.econbiz.de/10005621843
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A study on the Price Behavior of Base Metals traded in India
Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2013
, measured by India VIX on the price volatility of the five base metals. The findings of the study suggest that there is presence …
Persistent link: https://www.econbiz.de/10011259454
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Stock Index Volatility: the case of IPSA
Alfaro, Rodrigo; Silva, Carmen Gloria - Volkswirtschaftliche Fakultät, … - 2010
intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday …
Persistent link: https://www.econbiz.de/10008683280
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Mean-Reverting Logarithmic Modeling of VIX
Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
(VIX), volatility has become a widely accepted asset class as trading, diversifying and hedging vehicle by traders …, investors and portfolio managers over the past few years. On February 24, 2006, CBOE introduced options written on VIX index and … since then VIX option series has now become the most actively traded index option series on CBOE. This thesis focuses on …
Persistent link: https://www.econbiz.de/10011108253