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Integration and contagion in US housing markets
Cotter, John; Gabriel, Stuart; Roll, Richard - Volkswirtschaftliche Fakultät, … - 2011
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal … contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of … California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of …
Persistent link: https://www.econbiz.de/10009367964
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Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...
Persistent link: https://www.econbiz.de/10011207083
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Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?
Leitao, Joao; Armada, Manuel Rocha; Ferreira, Joaaquim - Volkswirtschaftliche Fakultät, … - 2012
This paper analyses whether the Calciocaos, which involved some Italian listed sport companies, impacted on the performance of the Dow Jones Stoxx Football index and if this was spread through shock propagation. The Calciocaos impact is assessed by using a cointegrated vector autoregression...
Persistent link: https://www.econbiz.de/10011260870
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非遺伝子組換え大豆とエネルギーの価格関係について
Aruga, Kentaka - Volkswirtschaftliche Fakultät, … - 2011
such as those of crude oil and ethanol using the cointegration methods. The results suggest that the prices of the non …
Persistent link: https://www.econbiz.de/10011259819
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Development and the cyclicality of government spending in the Czech Republic
Szarowska, Irena - Volkswirtschaftliche Fakultät, … - 2011
analyzed annual data on government spending in compliance with the COFOG international standard. We use cross-correlation on … spending functions. The lowest correlation coefficient (0.06) was found for recreation, culture and religion and the highest … Johansen cointegration test proved the existence of long-run relationship between GDP and total government spending, public …
Persistent link: https://www.econbiz.de/10009223354
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Macroeconomic variables and stock market: US review
Sirucek, Martin - Volkswirtschaftliche Fakultät, … - 2012
This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). Considered are inflation, interest rates, money supply, producer price index, industrial...
Persistent link: https://www.econbiz.de/10011107956
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Are South East Europe stock markets integrated with regional and global stock markets?
Guidi, Francesco; Ugur, Mehmet - Volkswirtschaftliche Fakultät, … - 2012
This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This...
Persistent link: https://www.econbiz.de/10011109681
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Development and the cyclicality of government spending in the Czech Republic
Szarowska, Irena - Volkswirtschaftliche Fakultät, … - 2011
analyzed annual data on government spending in compliance with the COFOG international standard. We use cross-correlation on … spending functions. The lowest correlation coefficient (0.01) was found for General public services (G10) and the high … of Johansen cointegration test proved the existence of long-run relationship between GDP and total government spending …
Persistent link: https://www.econbiz.de/10011112440
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Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case
Khan, Salman - Volkswirtschaftliche Fakultät, … - 2010
volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil …
Persistent link: https://www.econbiz.de/10008498490
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The impact of Oil Price and Oil Price Fluctuation on Growth Exports and Inflation in Pakistan
Hasanat Shah, Syed; Li, Jun Jiang; Hasanat, Hafsa - Volkswirtschaftliche Fakultät, … - 2013
In this study we employed the ARDL bound test in order to detect cointegration relation of oil price and oil price … fluctuation with GDP, exports and inflation in Pakistan. Our results confirmed cointegration among the variables when GDP was …
Persistent link: https://www.econbiz.de/10011107799