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Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...

Persistent link: https://www.econbiz.de/10010294592

Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.

Berg, Lennart - 2000

seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

Persistent link: https://www.econbiz.de/10010321733

The price of corporate social responsibility: The case of black economic empowerment transactions in South Africa

Jackson, William E.; Alessandri, Todd M.; Black, Sylvia … - 2005

Since the demise of apartheid in South Africa, corporations have been encouraged to participate in the governmental goal of increasing corporate ownership by the black majority population. One vehicle that has arisen to help facilitate an increase in corporate ownership has been black economic...

Persistent link: https://www.econbiz.de/10010292343

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

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

On emerging economy sovereign spreads and ratings

Powell, Andrew; Martínez, Juan Francisco - 2008

This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world factors. On the other hand, global financial...

Persistent link: https://www.econbiz.de/10010278198

Do credit rating agencies add value? Evidence from the sovereign rating business institutions

Cavallo, Eduardo A.; Powell, Andrew; Rigobón, Roberto - 2008

If rating agencies add no new information to markets, their actions are not a public policy concern. But as rating changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and spreads are both noisy signals of fundamentals and suggest...

Persistent link: https://www.econbiz.de/10010278306

Carry trades, order flow and the forward bias puzzle

Breedon, Francis; Rime, Dagfinn; Vitale, Paolo - 2015

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

Persistent link: https://www.econbiz.de/10011460768

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio - 2007

This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition ('round-trip arbitrage') and...

Persistent link: https://www.econbiz.de/10012143648

Does the Law of One Price Hold in International Financial Markets? Evidence from Tick Data

Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio - 2008

with the pace of the market and increase with market volatility. …

Persistent link: https://www.econbiz.de/10012143699

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