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Time variation in asset price responses to macro announcements
Grisse, Christian; Goldberg, Linda S. - Schweizerische Nationalbank (SNB) - 2013
, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response … to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …
Persistent link: https://www.econbiz.de/10010895105
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Do Countries or Industries Explain Momentum in Europe?
Nijman, Theo; Swinkels, L.A.P.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002
Persistent link: https://www.econbiz.de/10011090881
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Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2007
This paper sheds light on a puzzling pattern in foreign exchange markets: Domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. These time-of-day patterns are statistically and economically highly significant. They pervasively persist across many...
Persistent link: https://www.econbiz.de/10008925015
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Psychological Barriers and Price Clustering in Energy Futures
Lucey, Brian; Dowling, Michael - Institute for International Integration Studies (IIIS), … - 2012
We find evidence for price clustering in both oil and coal price data. We further find that there is significant evidence that these clusterings represent psychological barriers, and that these affect both the level and the volatility of prices around these barriers.
Persistent link: https://www.econbiz.de/10010904671
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Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2007
This paper sheds light on a puzzling pattern in foreign exchange markets: Domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. These time-of-day patterns are statistically and economically highly significant. They pervasively persist across many...
Persistent link: https://www.econbiz.de/10005091306
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Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries
Princ, Michael - Institut ekonomických studií, Univerzita Karlova v Praze - 2013
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...
Persistent link: https://www.econbiz.de/10010691098
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Do Countries or Industries Explain Momentum in Europe?
Swinkels, Laurens A. P.; Verbeek, Marno; Nijman, … - Erasmus Research Institute of Management (ERIM), … - 2002
The driving force behind the well-documented medium term momentum effect in stock returns is subject of much debate. Empirical papers that aim to find the determinants of this return continuation, seem to be almost exclusively restricted to US stock markets. Consequently, regional effects have...
Persistent link: https://www.econbiz.de/10010731427
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Mexican ADRs in the 90s: as good as expected?
Boye, Francois - In: Revista de Analisis Economico – Economic Analysis Review 22 (2007) 1, pp. 93-120
In the 90s, Mexican firms issued more than ever American Depository Receipts (ADRs), i.e, certificates of Mexican stocks, traded in U.S. markets and managed by U.S. depositories. This paper is about testing the top Mexican firms’ ADR for ability to: a) replicate the ups and downs of U.S....
Persistent link: https://www.econbiz.de/10005698236
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Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
Franke, Reiner; Westerhoff, Frank - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1193-1211
In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...
Persistent link: https://www.econbiz.de/10010599367
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Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104
The answer to the question posed in the title is mostly yes. Using sorting and cross-section, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...
Persistent link: https://www.econbiz.de/10011147544