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Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review
Hiremath, Gourishankar S - Volkswirtschaftliche Fakultät, … - 2009
The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...
Persistent link: https://www.econbiz.de/10011258169
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The 2007-2008 global financial crisis, and cross-border mergers and acquisitions: A 26-nation exploratory study
Reddy, Kotapati Srinivasa; Nangia, Vinay Kumar; … - Volkswirtschaftliche Fakultät, … - 2014
Many interdisciplinary studies of the 2007–2008 global financial crisis examine the causes of crisis, corporate governance and firm value, stock market efficiency, new firm registration, macroeconomic performance, and compare this crisis to previous crises. However, we do not find conceptual...
Persistent link: https://www.econbiz.de/10011111203
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Sovereign and bank CDS spreads: two sides of the same coin?
Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...
Persistent link: https://www.econbiz.de/10011107398
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Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns
Hirshleifer, David; hsu, po-hsuan; li, dongmei - Volkswirtschaftliche Fakultät, … - 2014
We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO...
Persistent link: https://www.econbiz.de/10011111668
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Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2011
The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory...
Persistent link: https://www.econbiz.de/10011112752
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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Investor Psychology and Asset Pricing
Hirshleifer, David - Volkswirtschaftliche Fakultät, … - 2001
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...
Persistent link: https://www.econbiz.de/10005619847
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The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa.
Ndako, Umar Bida - Volkswirtschaftliche Fakultät, … - 2013
This paper examines the day of the week effect for the Nigerian and South African equity markets over pre-liberalisation and post-liberalisation periods. The paper uses Exponential Generalized Autoregressive Conditional Hetroskedasticity (EGARCH) model to estimate the day of the week effect both...
Persistent link: https://www.econbiz.de/10011113105
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Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …
Persistent link: https://www.econbiz.de/10011112536