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Price, Return and Volatility Linkages of Base Metal Futures traded in India
Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2013
In this study the price, return and volatility behaviour of base metals (aluminium, copper, nickel, lead and zinc) which are traded on Indian commodity exchange - Multi Commodity Exchange (MCX) and International commodity exchange – London Metal Exchange (LME) are analysed. The time period...
Persistent link: https://www.econbiz.de/10011260331
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Impact of Commodities Transaction Tax on Indian Commodity Futures
Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2015
The Commodity Futures Market is an instrument to achieve price discovery of commodities. The Government of India introduced the Commodities Transaction Tax of 0.01 per cent payable on seller for derivative transactions on 1 July 2013. This tax in line with the earlier tax imposed on transactions...
Persistent link: https://www.econbiz.de/10011261161
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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
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The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
Santos, Carlos - Volkswirtschaftliche Fakultät, … - 2011
In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We are particularly interested in understanding which determinants have led investors to ask for higher yields on sovereign debt from the Euro shatter belt. We dismiss the definition of speculation...
Persistent link: https://www.econbiz.de/10009132739
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Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120
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Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
Qayyum, Abdul; Anwar, Saba - Volkswirtschaftliche Fakultät, … - 2011
This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation …
Persistent link: https://www.econbiz.de/10009644158
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Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
Klein, A.; Urbig, D.; Kirn, S. - Volkswirtschaftliche Fakultät, … - 2008
markets are largely unobservable. We take an estimation perspective to obtain daily time series of fractions of chartists and … to be mapped to empirical data by the estimation method. This poses heavy computational burdens. Our contribution to this … the estimation procedure, estimate only non-time varying parameters, or estimate only low frequency time series. Approach …
Persistent link: https://www.econbiz.de/10005835845
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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 the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...
Persistent link: https://www.econbiz.de/10005031389
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Forecasting volatility: Evidence from the Macedonian stock exchange
Kovačić, Zlatko - Volkswirtschaftliche Fakultät, … - 2007
This paper investigates the behavior of stock returns in an emerging stock market namely, the Macedonian Stock Exchange, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while for the conditional variance one symmetric (GARCH)...
Persistent link: https://www.econbiz.de/10005621308
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Nexus between Oil Price and Stock Performance of Power Industry in Malaysia
Puah, Chin-Hong; Tan, Lay-Phin; Isa, Md; Hassan, Abu - Volkswirtschaftliche Fakultät, … - 2009
This paper examines the reaction of KLCI and five major power sector stocks listed on Bursa Malaysia to the changes in the world spot oil price using cointegration technique and impulse response analysis. Results indicate the existence of a long run positive relationship of world spot oil price...
Persistent link: https://www.econbiz.de/10009147706