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THE IMPLICATIONS OF LIQUIDITY CRISES IN THE CONTEXT OF EMERGING CAPITAL MARKET
Birău, Felicia Ramona - In: Revista Tinerilor Economisti (The Young Economists Journal) 1 (2012) 18, pp. 189-193
This article aims to highlight the implications of liquidity crises in the context of emerging capital market. Capital markets, and especially emerging capital market appear to behave notably differently during periods of liquidity crises in comparison with periods of stability. The concept of...
Persistent link: https://www.econbiz.de/10010592957
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The Market Microstructure of Central Bank Intervention
Dominguez; K. - Research Seminar in International Economics, University … - 1997
One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. Until recently, data constraints have limited our ability to examine this issue. The Olsen and Associates high-frequency spot market data greatly expand the range of...
Persistent link: https://www.econbiz.de/10005551424
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A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364
This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...
Persistent link: https://www.econbiz.de/10011268784
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Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: Journal of International Money and Finance 41 (2014) C, pp. 95-109
indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon …
Persistent link: https://www.econbiz.de/10010743972
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2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors
Guidi, Francesco; Gupta, Rakesh - Department of Accounting, Finance and Economics, …
Persistent link: https://www.econbiz.de/10010797750
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches one as the sample size...
Persistent link: https://www.econbiz.de/10010594955
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Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this … out-of-sample Value-at-Risk (VaR) analyses based on Kupiec-LR test by using FIGARCH(1, d, 1) and FIAPARCH (1, d, 1) models … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …
Persistent link: https://www.econbiz.de/10010938176
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Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
TURKYILMAZ, Serpil; BALIBEY, Mesut - In: International Journal of Economics and Financial Issues 4 (2014) 2, pp. 400-410
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student- t...
Persistent link: https://www.econbiz.de/10011273115
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Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this … out-of-sample Value-at-Risk (VaR) analyses based on Kupiec-LR test by using FIGARCH(1, d, 1) and FIAPARCH (1, d, 1) models … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …
Persistent link: https://www.econbiz.de/10011279195
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An intertemporal capital asset pricing model with heterogeneous expectations
Koutmos, Dimitrios - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1176-1187
This paper extends the intertemporal capital asset pricing model (ICAPM) to integrate the heterogeneous trading behavior of three groups of investors; rational utility maximizers, positive feedback, or momentum, traders, and fundamental traders. Using several contemporary fundamental factors to...
Persistent link: https://www.econbiz.de/10010588051