Narrow search
Showing 1 - 10 of 257
Cover Image
Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios
Graflund, Andreas - 2002
This paper introduces a new non-parametric approach to integrate empirical probability functions of the real return for different investment horizons for five portfolios of Swedish stocks and bonds. In our setting the problem reduces to generating new generalizations from an empirical Markov...
Persistent link: https://www.econbiz.de/10013208423
Cover Image
Asset prices and macroeconomic outcomes: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012060200
Cover Image
Liquidity Shocks and Stock Market Reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...
Persistent link: https://www.econbiz.de/10010500241
Cover Image
Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010
markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct …
Persistent link: https://www.econbiz.de/10010273679
Cover Image
Measuring real-financial connectedness in the U.S. economy
Uluceviz, Erhan; Yılmaz, Kamil - 2018
We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia FED (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and/or business cycle turning points...
Persistent link: https://www.econbiz.de/10012060214
Cover Image
News Aggregators, Volatility and the Stock Market
Byström, Hans - 2009
In this paper we employ the news aggregator GoogleTM News to demonstrate a strong link between the volatility in the …
Persistent link: https://www.econbiz.de/10013208544
Cover Image
Language, News and Volatility
Byström, Hans - 2014
the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …
Persistent link: https://www.econbiz.de/10013208708
Cover Image
What Drives Bitcoin Volatility?
Byström, Hans; Krygier, Dominika - 2018
We look at the link between the volatility in the Bitcoin market and the volatility in other related traditional … markets, i.e. the gold, currency and stock market. We also try to answer if the volatility in the Bitcoin market can be … volatility and changes in the volatility of the trade weighted USD currency index. A stronger positive link is found between …
Persistent link: https://www.econbiz.de/10013208824
Cover Image
Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10011807679
Cover Image
How to Measure Segregation Conditional on the Distribution of Covariates
Åslund, Olof; Nordström Skans, Oskar - 2007
This short paper proposes a non-parametric method of accounting for the distribution of background characteristics when testing for segregation in empirical studies. It is shown and exemplified - using data on workplace segregation between immigrants and natives in Sweden - how the method can be...
Persistent link: https://www.econbiz.de/10010321592