Narrow search
Showing 1 - 10 of 910
Cover Image
Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …
Persistent link: https://www.econbiz.de/10005031389
Cover Image
Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10011259405
Cover Image
Estimation of the french salaried regional employment detailed at 31.12.2007 and aggregated at 31.12.2008.
Buda, Rodolphe - Volkswirtschaftliche Fakultät, … - 2010
about employment, below to this delay. After a first work (R.Buda, 2008) about the estimation of employment at year 2006 …, this paper describes the detailed estimation of employment at year 2007 and the aggregated estimation of employment at year …
Persistent link: https://www.econbiz.de/10009372502
Cover Image
Estimation de l'emploi régional et sectoriel salarié français : application à l'année 2006
Buda, Rodolphe - Volkswirtschaftliche Fakultät, … - 2008
Since 1973, INSEE provided each year, some statistics about French sectoral and regional (departmental one, since 2002) wage-earning and non wage-earning job. This statistics works is heavy and spend a long time to check all collected and calculated data because the level of disaggregation is...
Persistent link: https://www.econbiz.de/10009372602
Cover Image
Mutual influence of exchange assets: analysis and estimation
Kozmenko, Serhiy; Plastun, Oleksiy - Volkswirtschaftliche Fakultät, … - 2011
This paper examines the dynamic of prices for different exchange assets in relation to the dynamics of other exchange instruments. The analysis shows that in certain periods there exists a strong connection between the exchange assets(direct or indirect) but it is rather unstable. The...
Persistent link: https://www.econbiz.de/10011260013
Cover Image
Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10011261127
Cover Image
EMU sovereign spreads and macroeconomic news
Arru, Daniela; Iacovoni, Davide; Monteforte, Libero; … - Volkswirtschaftliche Fakultät, … - 2012
We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by...
Persistent link: https://www.econbiz.de/10009654204
Cover Image
Measuring market liquidity: an introductory survey
Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2011
estimating the market liquidity of assets. We consider definitions that stress the role of the bid-ask spread and the estimation …
Persistent link: https://www.econbiz.de/10009397162
Cover Image
Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania
Stefanescu, Razvan; Dumitriu, Ramona - Volkswirtschaftliche Fakultät, … - 2010
Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this...
Persistent link: https://www.econbiz.de/10009495131
Cover Image
Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230