Showing 1 - 10 of 526
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
The purpose of this paper is on the one hand to analyze whether the security’s systematic risk beta estimates change as the infrequent trading phenomenon appears and on the other hand to provide useful insight on the impact of mergers and acquisitions on competition policy. The paper employs...
Persistent link: https://www.econbiz.de/10011211862
I analyze a model with heterogeneous investors who have incorrect beliefs about fundamentals. Investors think that they are right at first, but over time realize that they are wrong. The speed of the realization depends on investor confidence in own beliefs and arrival of new information. The...
Persistent link: https://www.econbiz.de/10011267843
This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973) criterion, according to which a project is profitable if the project rate of return is greater than the risk-adjusted cost of capital, where the latter depends on the project’s...
Persistent link: https://www.econbiz.de/10011267900
An anchoring adjusted currency option pricing formula is developed in which the risk of the underlying currency is used as a starting point which gets adjusted upwards to arrive at the currency call risk. Anchoring bias implies that such adjustments are insufficient. The new formula converges to...
Persistent link: https://www.econbiz.de/10011250911
This paper examines the interactive relationships between oil price shocks and stock market in 11 OECD countries using Vector Error Correction Models (VECM). Considering both world oil production and world oil prices to supervise for oil supply and oil demand shocks, strong evidence of...
Persistent link: https://www.econbiz.de/10011253065
The recent financial and economic crisis highlighted the importance to better understand the relationship between liquidity developments and asset price movements. Central banks with focus on inflation targeting allowed asset price inflation, following burst, with its devastating consequences...
Persistent link: https://www.econbiz.de/10011258728
This paper aims to answer the question if and how much the foreign investors influence the boom and bust of small stock exchanges. It examines the impact of the foreign investors’ turnover towards small stock exchange turnover, particularly the Macedonian Stock Exchange. Based on the...
Persistent link: https://www.econbiz.de/10011258936
This research aims to construct a model for pricing counterparty credit risk (CCR) for synthetic collateralized debt obligation (CDO) tranches by considering the relationship between the counterparty and the credit port- folio. A stochastic intensity model is adopted to describe the default...
Persistent link: https://www.econbiz.de/10011258998
Despite the huge amount of wealth in the hand of Muslims, most countries with Muslim majority population fall in the category of developing nations. The development of infrastructure has been proven to be an effective means for economic growth and poverty reduction. Usually governments have...
Persistent link: https://www.econbiz.de/10011259016