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Surprise volume and heteroskedasticity in equity market returns

Wagner, Niklas; Marsh, Terry A. - 2004

Heterosedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-avergae trading activity - which is derived from uncorrelated volume innovations. Assuming eakly exogenous volume, we extend the Lamoureux and...

Persistent link: https://www.econbiz.de/10010305808

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

Can common stocks provide a hedge against inflation? Evidence from African countries

Alagidede, Paul; Panagiotidis, Theodore - 2010

The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices...

Persistent link: https://www.econbiz.de/10010273656

The Impact of Currency Movements on Asset Value Correlations

Byström, Hans - 2013

This paper looks at the asset correlation bias resulting from firms' assets and liabilities being denominated in different currencies. It focuses on the time-variation in the bias and on the dependency of the bias on currency movements. Both the volatility of the exchange rate and the...

Persistent link: https://www.econbiz.de/10013208660

The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements

Byström, Hans - 2016

We extend the Tasche (2007) model on the asset correlation bias caused by a currency mismatch between assets and liabilities to the more realistic situation where some assets, and some, but not necessarily all, liabilities, are denominated in a foreign currency. To test the significance of the...

Persistent link: https://www.econbiz.de/10013208745

2008 global crisis: Is foreign currency denominated debt an important indicator?

Akca, Ozden - 2011

Foreign currency denominated debt as an influence of exchange rate pressure during the 2008 global crisis is explored across 58 countries. Countries with higher ratios of foreign currency denominated debt to total international debt experienced significant currency depreciation during the global...

Persistent link: https://www.econbiz.de/10010287765

Are there spillover effects from Hong Kong and the United States to Chinese stock markets

Diekmann, Katharina - 2011

Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...

Persistent link: https://www.econbiz.de/10010289320

Does Finance have a cultural Dimension?

Hens, Thorsten; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007

According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...

Persistent link: https://www.econbiz.de/10005858207

The impact of international swap lines on stock returns of banks in emerging markets

Andrieș, Alin Marius; Fischer, Andreas M.; Yeșin, Pınar - 2015

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging … markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central … and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap …

Persistent link: https://www.econbiz.de/10011629985

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