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The impact of foreign stock exchanges on the main stock exchange indexes in Poland

Augustyński, Iwo - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 1-12

In this paper the author compared 13stock exchange indexes of American, British and German markets and determined their impact on Polish Wig and WIG20 indexes. The analysis proved that the British FTSE100 and FTSE250 as well as the German DAX had the biggest influence on the Warsaw indexes. The...

Persistent link: https://www.econbiz.de/10009959710

Have bull and bear markets changed over time? : empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...

Persistent link: https://www.econbiz.de/10010079541

Momentum in the Tunisian stocks returns : identification of some risk factors

Zoghlami, Faten - In: Journal of applied finance & banking 1 (2011) 2, pp. 207-229

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

Persistent link: https://www.econbiz.de/10010009069

Value at risk, market risk and trading activity : CAPM alternative model

Santosa, Perdana Wahyu; Laksana, Harry Yusuf - In: Journal of applied finance & banking 1 (2011) 4, pp. 239-268

return, VaR and market risk (2) the relationship between return, size and liquidity and (3) the relationship between return … LQ45 in 2004-2006 periods. The results of this research that VaR, beta, size, and liquidity positively related to stock …. -- value-at-risk ; asset pricing ; size ; liquidity ; price-to-book value. …

Persistent link: https://www.econbiz.de/10010009093

Observing evidence of insider trading in the Athens Stock Exchange

Thalassinos, Eleftherios; Maditinos, Dimitrios; … - In: Journal of economic structures : JES; the official … 1 (2012), pp. 1-26

This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...

Persistent link: https://www.econbiz.de/10010098104

Most admired companies : admirable performance

Sum, Vichet - In: Journal of applied finance & banking 2 (2012) 6, pp. 191-199

This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results...

Persistent link: https://www.econbiz.de/10010118415

Accounting conservatism, market liquidity and informativeness of asset price : implications on mark to market accounting

Luo, Guo Ying - In: Journal of applied finance & banking 3 (2013) 1, pp. 177-190

market liquidity increases as the proportion of conservatism traders increases. With mark to market accounting replacing the … conservative accounting practice, the asset price will be more informative and the market liquidity will be reduced. From the … conservatism ; market liquidity ; price efficiency ; mark to market accounting …

Persistent link: https://www.econbiz.de/10010148065

Commercial paper rates and stock market excess returns

Sum, Vichet - In: Journal of finance and investment analysis 2 (2013) 1, pp. 77-83

This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

Persistent link: https://www.econbiz.de/10010148283

Do dividend announcements affect the stock prices in the Greek Stock Market?

Vazakidis, Athanasios; Athianos, Stergios - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 57-77

This paper examines the reaction of the Athens Stock Exchange (ASE) to dividend announcements by a sample of firms listed at the FTSE/ATHEX 20 and FTSE/ATHEX Mid 40 for a fixed period 2004-2008. It also provides analytical information about the Greek Stock Market and the regulations underlying...

Persistent link: https://www.econbiz.de/10009958058

Factores determinantes del racionamiento de crédito a las PYMES : un estudio empírico en Andalucia

Larrán Jorge, M.; García-Borbolla Fernández, A.; … - In: Investigaciones europeas de Dirección y Economía de … 16 (2010) 2, pp. 63-82

The main objective of this paper is to determine if it is possible to find within the credit market any restrictions, for instance to credit concessions and its commercial conditions to more little firms or to those that do not have a strong relationship whit their usual banks, and, if the...

Persistent link: https://www.econbiz.de/10009958316