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The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
Karkowska, Renata - Volkswirtschaftliche Fakultät, … - 2013
Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the...
Persistent link: https://www.econbiz.de/10011112004
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Capital Asset Pricing Model and Stochastic Volatility: A Case study of India
Fung, Ka Wai Terence; Demir, Ender; Zhou, Lu - Volkswirtschaftliche Fakultät, … - 2014
Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional...
Persistent link: https://www.econbiz.de/10011113628
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …
Persistent link: https://www.econbiz.de/10011108128
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The Fama French Model or the capital asset pricing model: international evidence
Alves, Paulo - Volkswirtschaftliche Fakultät, … - 2013
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10011108748
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Centre Rules the Markets
Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008
In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...
Persistent link: https://www.econbiz.de/10011109448
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The application of the capital asset pricing model on the Croatian capital market
Tomić, Bojan - Volkswirtschaftliche Fakultät, … - 2013
The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model … problem of applying the CAPM model is the market index with negative returns during the observation period. …
Persistent link: https://www.econbiz.de/10011110636
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Validita modelu CAPM na akciovém trhu USA
Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - Volkswirtschaftliche Fakultät, … - 2014
The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …
Persistent link: https://www.econbiz.de/10011201277
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An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - Volkswirtschaftliche Fakultät, … - 2009
international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree … most strongly integrated with world nancial markets; (2) in most other MENA markets examined there is primarily local …
Persistent link: https://www.econbiz.de/10005789590
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The Middle Eastern Wealth Management Industry: Boon or Bust?
Michael, Bryane; Apostoloski, Nenad - Volkswirtschaftliche Fakultät, … - 2012
The wealth management industry in the Middle East and North Africa (MENA) represents a roughly $800 billion opportunity. Yet, tapping this opportunity will require new strategies by the wirehouses looking to penetrate into this market. In this paper, we argue that Middle-Eastern policymakers and...
Persistent link: https://www.econbiz.de/10011259143
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Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
Vardhan, Harsh; Sinha, Pankaj - Volkswirtschaftliche Fakultät, … - 2014
The study examines influence of FIIs on the Indian equity market and its role in integration with US equity market. It provides insight for policy formulation in order to move towards greater liberalized FII’s policy regime for regaining FIIs confidence in the Indian equity market. The time...
Persistent link: https://www.econbiz.de/10011259596