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The forecasting performances of volatility models in emerging stock markets : is a generalization really possible?

Iltuzer, Zeynep; Tas, Oktay - In: Journal of applied finance & banking 3 (2013) 2, pp. 49-73

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in...

Persistent link: https://www.econbiz.de/10010148073

The amendment and empirical test of arbitrage pricing models

Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of applied finance & banking 1 (2011) 1, pp. 163-177

The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...

Persistent link: https://www.econbiz.de/10009958478

Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market

Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

Persistent link: https://www.econbiz.de/10010118438

The determinants of cash flows in Greek bond mutual funds

Grose, Christos - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 55-77

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...

Persistent link: https://www.econbiz.de/10009958067

Financial analysis on Indian stock market volatility during recession

Arekar, Kirti; Jain, Rinku - In: Advances in management & applied economics 1 (2011) 3, pp. 127-133

In this article, a snapshot of the market performance during the two-year is presented and compared with the major overseas markets. A study considered a market performance of different sectors i.e. Information Technology and Banking with respect to the market. Further we analyzed that which...

Persistent link: https://www.econbiz.de/10010009042

Is stock always the right choice? : should naive investors avoid stock markets?

Donadelli, Michael - In: Advances in management & applied economics 1 (2011) 3, pp. 93-113

The goal of this paper is to present an original and simple analysis aimed to understand why investing in capital markets can be very dangerous for "naive investors". Stock markets display often exploding volatility. They are characterized by instability and subject to external shocks. If...

Persistent link: https://www.econbiz.de/10010009044

Arekar, Kirti; Kumar, Sanjeevani - In: Journal of applied finance & banking 1 (2011) 1, pp. 131-142

Investment of portfolio known that there is an important level of uncertainty about the future worth of a portfolio. The concept of value at risk (VAR) has been used to help describe a portfolio's uncertainty. The current trend of investment in India is to invest in stock market which...

Persistent link: https://www.econbiz.de/10009958480

The status quo bias of bond market analysts

Gubaydullina, Zulia; Hein, Oliver; Spiwoks, Markus - In: Journal of applied finance & banking 1 (2011) 1, pp. 31-51

Status quo bias is a systematic cognitive error which makes it difficult for individuals to make decisions … status quo bias. We evaluated interest rate forecast series from twelve industrial nations. This revealed that, on average … significantly underestimated. -- behavioral finance ; status quo bias , bond market analysts ; interest rate forecasts …

Persistent link: https://www.econbiz.de/10009958484

Financial markets, bloated governments and the misallocation of capital

Savvides, Savvakis C. - In: Journal of finance and investment analysis 1 (2012) 2, pp. 201-219

Through this paper the author discusses the phenomenon of excessive Government borrowing and the factors that lead Governments to be so dependent on financial markets. It is argued that the combined effect of unregulated financial intermediaries, hedge funds and Credit Rating Agencies in...

Persistent link: https://www.econbiz.de/10010079549

Measuring exchange rate fluctuations risk using the value-at-risk

Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation...

Persistent link: https://www.econbiz.de/10010009131

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