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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
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
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
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
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
Abstract Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....
Persistent link: https://www.econbiz.de/10011259170
do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility …
Persistent link: https://www.econbiz.de/10011259974
very similar to a “safety first” approach. Hence, we will primarily be concerned with negative Skew, drawdown, volatility …
Persistent link: https://www.econbiz.de/10011260913
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
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...
Persistent link: https://www.econbiz.de/10005087515