Narrow search
Showing 1 - 10 of 136
Cover Image
The relationship between concentration and realised volatility: an empirical investigation of the FTSE 100 Index January 1984 through March 2003
Tabner, Isaac T. - 2005
Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios … volatility and increases in the equally weighted components of the realised VCM. The results have important implications for … portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to …
Persistent link: https://www.econbiz.de/10009465927
Cover Image
Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility
Haberer, Markus - 2006
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
Cover Image
Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange
Henke, Harald - 2004
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
Cover Image
Essays on International Finance and Risk Sharing
Liu, Edith X. - 2010
The potential for economic agents to minimize risk through diversification is central to the study of finance. This dissertation analyzes the ability to diversify risks in an international context by studying risk sharing opportunities on two dimensions, consumption growth and portfolio wealth....
Persistent link: https://www.econbiz.de/10009439199
Cover Image
Essays on Agency in International Finance.
Mukherjee, Rahul - 2010
establishes a set of stylized factsabout the relationship between institutional quality, macroeconomic volatility, firmsize …
Persistent link: https://www.econbiz.de/10009477490
Cover Image
Analysis of carbon mitigation policies: feed-in tariffs, energy and carbon price interactions and competitive distortions on carbon markets
Johanna Reichenbach - 2011
I study several policy instruments for carbon mitigation with a focus on subsidies for renewable energies, emission taxes and emission allowances. In Chapter 1, I analyze the optimal design and the welfare implications of two policies consisting of an emission tax for conventional fossil-fuel...
Persistent link: https://www.econbiz.de/10009429024
Cover Image
Comovements in UK regional property markets: A multivariate cointegration analysis
Worthington, Andrew C.; Higgs, Helen - 2003
This paper examines the short and long-term comovements among UK regional property markets over the period 1976-2001. The markets examined are London, Outer South-East, East Anglia, South West, East Midlands, West Midlands, Yorkshire and Humberside, North and North West. Multivariate...
Persistent link: https://www.econbiz.de/10009437464
Cover Image
Akcijų portfelio diversifikavimo galimybių tyrimas, taikant tinklelio metodą, Baltijos šalių biržose
Chlebopaševas, Edgaras - 2009
Šiame darbe atliekamas akcijų portfelio diversifikavimo galimybių tyrimas, remiantis autorių išskirtu tinklelio metodu, pagal kapitalizacijos, P/E, P/BV, ROA ir EPS rodiklius, kaip kriterijus. Portfeliai formuojami 2008 m. Nasdaq OMX Baltic biržose listinguojamų akcijų pagrindu. Nors...
Persistent link: https://www.econbiz.de/10009478886
Cover Image
Cointegration of International Stock Markets: An Investigation of Diversification Opportunities
Khan, Taimur A - 2011
Abstract: This paper examines the long-run convergence of the United States and 22 other developed and developing countries. I use daily data and run the Johansen (1988) and the Gregory and Hansen (1996) test to show that stock markets of most countries have become cointegrated by 2010. I also...
Persistent link: https://www.econbiz.de/10009449301
Cover Image
Evidence of financial integration in Asia: An empirical application of panel unit root tests and multivariate cointegration and causality procedures
Worthington, A. C.; Higgs, H. - 2007
This paper measures the extent of financial integration and interdependence among Asian equity markets over the period January 1993 to June 2006 using daily data. The analysis includes three developed markets (Hong Kong, Japan and Singapore) and eight emerging markets (China, India, Indonesia,...
Persistent link: https://www.econbiz.de/10009457357