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The Spread of the Credit Crisis: View from a Stock Correlation Network

Smith, Reginald - Volkswirtschaftliche Fakultät, … - 2008

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade...

Persistent link: https://www.econbiz.de/10005668392

Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models

Frimpong, Joseph Magnus; Oteng-Abayie, Eric Fosu - Volkswirtschaftliche Fakultät, … - 2006

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

Persistent link: https://www.econbiz.de/10005623234

The impact of the securities transaction taxes on the Chinese stock market

Su, Yongyang - Volkswirtschaftliche Fakultät, … - 2010

return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …

Persistent link: https://www.econbiz.de/10008506118

Issuing Bonds, Shares or Staying Private? Determinants of Going Public in an Emerging Economy

Jackowicz, Krzszof; Kowalewski, Oskar; Kozłowski, Łukasz - Volkswirtschaftliche Fakultät, … - 2014

The Warsaw Stock Exchange is one of Europe’s largest exchanges by the number of IPOs, although it retains features of a market in post-transition countries, including a relatively small size, shallowness and a weak institutional framework. In this study, we use a large dataset to explore...

Persistent link: https://www.econbiz.de/10011107655

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10011109053

The integration of the banking, insurance and reinsurance markets in Russia and Ukraine

Kozmenko, Olha; Kuzmenko, Olha - Volkswirtschaftliche Fakultät, … - 2012

The article offers the indicator of the general level of integration (quantitative estimation of convergence) of the banking, insurance and reinsurance markets as a result of integration processes by identifying the numerical values of this indicator with subsequent qualitative interpretation on...

Persistent link: https://www.econbiz.de/10011109489

Political crises and risk of financial contagion in developing countries: Evidence from Africa

Simplice A, Asongu - Volkswirtschaftliche Fakultät, … - 2011

The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius were...

Persistent link: https://www.econbiz.de/10011110499

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Asongu, Simplice - Volkswirtschaftliche Fakultät, … - 2013

not correlated. However with volatility spillovers, increase in cross-market correlations exist as a real-effect and are …

Persistent link: https://www.econbiz.de/10011110607

Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange

Dumitriu, Ramona; Stefanescu, Razvan; Nistor, Costel - Volkswirtschaftliche Fakultät, … - 2011

This paper explores the relation between the prices and the trading volume from the Bucharest Stock Exchange. The data employed consist in the daily values from January 2002 to March 2011. We identify some significant changes caused by events such as Romania’s adhesion to the European Union or...

Persistent link: https://www.econbiz.de/10011258824

Rynek finansowy w Federacji Rosyjskiej - wybrane zagadnienia

Zawadzki, Krystian; Lewicka, Marta - Volkswirtschaftliche Fakultät, … - 2010

Authors of the study aimed to analyze the structure and some of the figures of the financial market in Russia. This choice of one side was dictated by proximity to Russia and relatively little knowledge about the financial market of the country, the other huge potential that lies dormant in the...

Persistent link: https://www.econbiz.de/10011258938