Narrow search
Showing 1 - 10 of 4,903
Cover Image
A castle built on sand: the effects of mass privatization on stock market creation in transition economies
Fungáčová, Zuzana; Hanousek, Jan - 2006
This paper deals with the relationship between mass privatization and stock market development in transition economies.The link is investigated empirically using a panel of data that includes most transition countries.Our results confirm the hypothesis that mass privatization exerted a negative...
Persistent link: https://www.econbiz.de/10012148517
Cover Image
Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10010318771
Cover Image
Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011984362
Cover Image
What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Haab, David R.; Nitschka, Thomas - In: Swiss Journal of Economics and Statistics 155 (2019) 16, pp. 1-17
Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...
Persistent link: https://www.econbiz.de/10013205783
Cover Image
Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
Cover Image
How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010291779
Cover Image
How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010300155
Cover Image
Central bank communication and correlation between financial markets: Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …
Persistent link: https://www.econbiz.de/10010286380
Cover Image
Evolution, spatial selforganisation and path dependence: Tokyo's role as an international financial center
Reszat, Beate - 2000
Japan's markets for money, capital and foreign exchange are among the biggest worldwide. For many years, Tokyo's role as the leading financial center in Asia has been unchallenged. However, recently, other places in the region such as Singapore and Hong Kong have invested heavily to strengthen...
Persistent link: https://www.econbiz.de/10010295619
Cover Image
China's overseas lending
Horn, Sebastian; Reinhart, Carmen M.; Trebesch, Christoph - 2019
Compared with China's dominance in world trade, its expanding role in global finance is poorly documented and understood. Over the past decades, China has exported record amounts of capital to the rest of the world. Many of these financial flows are not reported to the IMF, the BIS or the World...
Persistent link: https://www.econbiz.de/10012026888