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The effectiveness of forex interventions in four Latin America countries
Broto Pelegrín, Carmen - 2012
countries with infl ation targets —namely, Chile, Colombia, Mexico and Peru—by fitting GARCH-type models. These countries … concreto, Chile, Colombia, México y Perú—, mediante modelos de la familia de los GARCH. Estas economías representan una amplia …
Persistent link: https://www.econbiz.de/10012530389
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NONLINEARITY AND MARKET EFFICIENCY IN GCC STOCK MARKETS
Alharbi, Abdullah M. H. - 2009
regarded nonlinearity tests. In addition, the Efficient Market Hypothesis (EMH) was tested in this dissertation for the GCC … with the literature on the EMH in financial markets including historical background, implications, and criticism of this … well as the typical linear independence tests, the EMH was strongly rejected for the GCC stock markets. The study findings …
Persistent link: https://www.econbiz.de/10009430941
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The Possible Role of Futures Market and the Public Warehousing in Trade-financing Activity
Kozar, Laszlo - 2010
The principal achievement of this paper is to introduce the operation of a specified‘Futures’ model and it’s practice for decision-makers of financial institutes through anexample based on the price data’s of grain futures market from EU assessment 2004 to thesedays in Hungary.Based on a...
Persistent link: https://www.econbiz.de/10009442743
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks....
Persistent link: https://www.econbiz.de/10009475070
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New Insights into the Impact of the Introduction of Futures Trading on Stock Price Volatility
McKenzie, Michael D; Brailsford, Tim; Faff, Robert W - 2000
In this paper we examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (ISF) has impacted on the systematic risk and volatility of the underlying shares. The use of ISF allows a unique experimental design that complements existing work...
Persistent link: https://www.econbiz.de/10009451290
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Volatility spillover in Australian commercial property
Lee, Chyi Lin - University of Western Sydney; University of Western Sydney - 2008
assets by utilising generalised autoregressive conditional heteroskedasticity (GARCH) and Exponential GARCH (EGARCH) over the …
Persistent link: https://www.econbiz.de/10009482276
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Underdeveloped Spot Markets and Futures Trading: The Soya Oil Exchange in India
Ramaswami, Bharat; Singh, Jatinder - 2007
Abstract The limited presence of futures exchanges in developing countries where commodity markets fall short of the ideal underscore the importance of understanding the relation between spot and futures markets. The paper examines the exceptional success of the soya oil contract at the National...
Persistent link: https://www.econbiz.de/10009445121
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SENSITIVITY OF NET PRESENT VALUES AND REAL OPTION VALUES TO
Emslie, Frank Norman - 2011
In export operation forecasting exercises the effect of stochastic inputvariables such as exchange rates and commodity prices are often ignoredwith the convention being to account for their uncertainty in discount rates. Inthe case where exchange rates are highly volatile, such as in the...
Persistent link: https://www.econbiz.de/10009447788
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The cost of crises and learning to live with exchange rate volatility: evidence from survey measures of consumer and business expectations
de Brouwer, Gordon - 2003
Conclusion: This paper has assessed the empirical relationship between exchange rate volatility and survey measures of household and business confidence in Australia, Japan, Korea, Malaysia, and Singapore. Caution needs to be used in interpreting this relationship, because the number of...
Persistent link: https://www.econbiz.de/10009451732
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Dynamics of Endogenous Business Cycles and Exchange Rate Volatility
Böhm, Volker; Kikuchi, Tomoo - 2002
This paper studies the dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital...
Persistent link: https://www.econbiz.de/10009452630