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Stock market predictability: Non-synchronous trading or inefficient markets? Evidence from the national stock exchange of India

Camilleri, Silvio John; Green, Christopher J - In: Studies in Economics and Finance 31 (2014), pp. 354-370

Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach -The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices using...

Persistent link: https://www.econbiz.de/10010939325

Speculative excess and the Federal Reserve's response

Huston, John H.; Spencer, Roger W. - In: Studies in Economics and Finance 26 (2009) March, pp. 46-61

Purpose – The purpose of this paper is to develop a single variable indicative of the state of market speculation; to determine whether the Federal Reserve has attempted to quell speculation when it has been most rampant and whether such attempts were successful. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10005081119

Rational speculative bubbles in MENA stock markets

Yu, Jung-Suk; Hassan, M. Kabir - In: Studies in Economics and Finance 27 (2010) August, pp. 247-264

Purpose – The purpose of this paper is to examine the existence of rational speculative bubbles in the Middle East and North African (MENA) stock markets. Design/methodology/approach – To complement shortcomings of the traditional bubble tests, such as unit root tests and cointegration...

Persistent link: https://www.econbiz.de/10009392935

Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: A sectoral analysis

Fu, Tian Yong; Holmes, Mark J.; Choi, Daniel F.S. - In: Studies in Economics and Finance 28 (2011) March, pp. 36-50

Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach – In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and...

Persistent link: https://www.econbiz.de/10009392948

The impact of cross-listings on the UK and the German stock markets

Koulakiotis, Athanasios; Lyroudi, Katerina; Thomaidis, Nikos - In: Studies in Economics and Finance 27 (2010) March, pp. 4-18

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross-listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets....

Persistent link: https://www.econbiz.de/10009392949

Stock market and aggregate consumption asymmetry: evidence from Malaysia

Ibrahim, Mansor H.; Habibullah, Muzafar Shah - In: Studies in Economics and Finance 27 (2010) March, pp. 19-29

Purpose – The purpose of this paper is to analyze the influences of real share prices on aggregate consumption for …/methodology/approach – The paper specifies aggregate consumption to depend on real income and real share prices. Alternatively, imposing long …-run budget constraint, the paper specifies the relation between aggregate consumption and real share prices as ratio to real …

Persistent link: https://www.econbiz.de/10009392970

Greed, financial innovation or laxity of regulation?: A close look into the 2007-2009 financial crisis and stock market volatility

Mazumder, M. Imtiaz; Ahmad, Nazneen - In: Studies in Economics and Finance 27 (2010) June, pp. 110-134

Purpose – The purpose of this paper is to shed light on the causes of the 2007-2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007-2009 financial...

Persistent link: https://www.econbiz.de/10009392973

The effect of universal futures on opening and closing stock market price discovery

Chelley-Steeley, Patricia L.; Steeley, James M. - In: Studies in Economics and Finance 28 (2011) October, pp. 260-281

Purpose – On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns....

Persistent link: https://www.econbiz.de/10010551616

Impact of future trading on stock market: a study of BRIC countries

Gahlot, Ruchika; Datta, Saroj Kumar - In: Studies in Economics and Finance 29 (2012) June, pp. 118-132

day-of-the-week effect in BRIC countries' stock market. Design/methodology/approach – This study uses closing prices of …

Persistent link: https://www.econbiz.de/10010551618

Some stylized facts of return in the foreign exchange and stock markets in Peru

Humala, Alberto; Rodriguez, Gabriel - In: Studies in Economics and Finance 30 (2013) April, pp. 139-158

Purpose – The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach – Formal statistics for testing presence of autocorrelation, asymmetry, and other...

Persistent link: https://www.econbiz.de/10010691555