Narrow search
Showing 1 - 10 of 1,573
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
Cover Image
Using sentiment surveys 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/10009647399
Cover Image
The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005787110
Cover Image
MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …
Persistent link: https://www.econbiz.de/10005619306
Cover Image
The response of industry stock returns to market, exchange rate and interest rate risks
Hyde, Stuart J - Volkswirtschaftliche Fakultät, … - 2007
This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate...
Persistent link: https://www.econbiz.de/10005789806
Cover Image
Carry Trades and Global FX Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Volkswirtschaftliche Fakultät, … - 2009
We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate currencies provide a hedge against volatility shocks....
Persistent link: https://www.econbiz.de/10005836150
Cover Image
Investor Overconfidence and the Forward Discount Puzzle
Han, Bing; Hirshleifer, David; Wang, Tracy - Volkswirtschaftliche Fakultät, … - 2005
This paper offers an explanation for the forward discount puzzle in foreign exchange markets based upon investor overconfidence. In our model, overconfident individuals overreact to their information about future inflation differential. The spot and the forward exchange rates differentially...
Persistent link: https://www.econbiz.de/10005619814
Cover Image
Banks exposure to market risks
Galy, Michel - Volkswirtschaftliche Fakultät, … - 1989
Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank...
Persistent link: https://www.econbiz.de/10011183544
Cover Image
Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
Huang, Huichou; MacDonald, Ronald - Volkswirtschaftliche Fakultät, … - 2012
This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry trade portfolios, which covers moment information as the proxy for crash risk. We show that high interest-rate currencies are exposed to higher position-unwinding risk than low...
Persistent link: https://www.econbiz.de/10011107339
Cover Image
Oil Price and Exchange Rate Volatility in Nigeria
Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013
Nigeria being a mono-product economy, where the main export commodity is crude oil, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing...
Persistent link: https://www.econbiz.de/10011109692