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The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?
Amilon, Henrik; Byström, Hans - 2000
in different ways to mirror the behavior of stocks on the Stockholm Stock Exchange. We find AR-GARCH parameter estimates …
Persistent link: https://www.econbiz.de/10013208411
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Impact Of Proposed Commodity Transaction Tax On Futures Trading In India
Sahoo, Pravakar; Kumar, Rajiv - 2008
taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …
Persistent link: https://www.econbiz.de/10011807622
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Impact of transaction taxes on commodity derivatives trading in India
Ray, Saon; Malik, Neha - 2014
Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...
Persistent link: https://www.econbiz.de/10011807678
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Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10011807679
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High-speed technology trading innovations and capital market performance in Bulgaria
Stefanova, Julia - In: Financial Studies 22 (2018) 2 (80), pp. 6-37
, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …
Persistent link: https://www.econbiz.de/10012484763
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Incentive Fees: erfolgsabhängige Vergütungsmodelle deutscher Publikumsfonds
Kluß, Norbert; König, Markus; Cremers, Heinz - 2003
This paper analyzes the current use of incentive-fee-concepts for mutual funds in Germany. Following an empirical analysis about the relevance of these methods, the different methods of calculation and the influence of different parameters are described. Further on it explains the impacts of...
Persistent link: https://www.econbiz.de/10010298884
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Wertsicherungsstrategien für das Asset Management
Kluß, Norbert; Bayer, Marcus; Cremers, Heinz - 2005
The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio by progressively selling stocks and buy safe, short-term debt securities as stock prices fall. This paper analyzes the current static and dynamic methods in use and explains their pros and cons.
Persistent link: https://www.econbiz.de/10010298898
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Niederschlagsderivate
Heidorn, Thomas; Trautmann, Alexandra - 2005
Some traders estimate precipitation derivatives to have a potential which increases even that of temperature derivatives. Precipitation derivatives can be used both for hedging and marketing purposes for a diverse number of possible end users. However, the complex way of measuring precipitation,...
Persistent link: https://www.econbiz.de/10010298902
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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10010299076
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Die Konstruktion einer marktbasierten Benchmark für Beteiligungstitel in Schiffsinvestitionen
Grelck, Michael B.; Prigge, Stefan; Tegtmeier, Lars; … - 2010
Schiffsinvestitionen haben in Deutschland eine lange Tradition und stellen für private Anleger — meist über geschlossene Fonds — und zunehmend auch für institutionelle Anleger eine bedeutende Form der Kapitalanlage dar. Trotz ihrer schon lange anhaltenden Beliebtheit und des hohen...
Persistent link: https://www.econbiz.de/10010302750