Similar Search Results

Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...

Persistent link: https://www.econbiz.de/10010148077

Valuation and investment profession

Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10010185798

Volatility impact of stock index futures trading : a revised analysis

Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

Persistent link: https://www.econbiz.de/10010058694

Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets

Srinivasan, P.; Ibrahim, P. - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 65-80

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

Persistent link: https://www.econbiz.de/10010097639

Structured bonds and Greek demons is the attack ”fair”?

Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277

that happened elsewhere. Exception were the Tier I structured bonds issued by local banks. -- structured bond ; derivative …

Persistent link: https://www.econbiz.de/10010009068

Price leadership between spot and futures markets

Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107

This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building...

Persistent link: https://www.econbiz.de/10010118433

Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles

Corona Dueñas, José Asunción - In: Atlantic review of economics 1 (2012)

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

Persistent link: https://www.econbiz.de/10010049034

Banking Intermediation and Economic Growth : Some Evidence from MENA Countries

Taha, Zaghdoudi; Anis, Ochi; Hassen, Soltani - In: Advances in management & applied economics 3 (2013) 4, pp. 51-57

In this paper, we’ll try to study the impact of banking intermediation on the economic growth in ten countries in the MENA region over the period 1990–2009 using the method of GMM estimation for dynamic panels. Our results generally show a negative correlation between all variables of...

Persistent link: https://www.econbiz.de/10010148060

Bank interest margin and default risk under the capped schedule for government capital injections in the Basel III capital adequacy accord

Chang, Chuen-ping; Tsai, Jeng-yan - In: Journal of applied finance & banking 3 (2013) 1, pp. 161-175

interest margins and failure probability. We show that a declining capped ratio increases a bank’s volume of lending at a … reduced margin and further increases its default risk. The capped ratio schedule as such makes the bank less prudent and more … prone to risk-taking, thereby adversely affecting the stability of the banking system. Our findings provide alternative …

Persistent link: https://www.econbiz.de/10010148066

What determined banks specie reserve : new evidences from Illinois free banks

Samad, Abdus - In: Journal of applied finance & banking 3 (2013) 2, pp. 139-152

balance sheet of individual bank and finds none of the Illinois free banks was without specie reserve. Applying econometric … determinants of specie reserves for antebellum banks. Specie reserve was positively related to deposit liabilities and negatively … respectively. Other liabilities like banks equity capital and notes of other banks insignificant. -- free banks ; bank …

Persistent link: https://www.econbiz.de/10010148067