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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange

Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...

Persistent link: https://www.econbiz.de/10009958079

Arima-Garch models in estimating market risk using value at risk for the WIG20 index

Makiel, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 2, pp. 25-33

This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then,...

Persistent link: https://www.econbiz.de/10010009392

Does subprime crisis affect Chinese stock market returns?

Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Persistent link: https://www.econbiz.de/10010118417

The research on the distinguishing features of the international financial centers

Kayral, Ihsan Erdem; Karan, Mehmet Baha - In: Journal of applied finance & banking 2 (2012) 5, pp. 217-238

Although London appeared as the first international financial center on the world, the number of these kind of centers show a notable increase in the recent years. Those centers are regarded as magnetic places for the economic issues and they also serve as important economic centers. In the...

Persistent link: https://www.econbiz.de/10010058686

An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

Persistent link: https://www.econbiz.de/10010058691

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

Nuevo enfoque del negocio de las tarjetas bancarias en España y el nuevo papel a desarrollar por el comerciante

Castillo Peces, Carlos; Mercado Idoeta, Carmelo; Corral … - In: Investigaciones europeas de Dirección y Economía de … 17 (2011) 3, pp. 151-172

The objective of this research is to analyze the basics elements of the Spanish financial entities new approach in the financial cards business, as well as the merchant's new role in its development. For this purpose, a questionnaire was sent to 60 managers in the cards business in such...

Persistent link: https://www.econbiz.de/10009958346

Does activity mix and funding strategy vary across ownership? : evidence from Indian banks

Ghosh, Saibal - In: Atlantic review of economics 1 (2011), pp. 1-33

shares. In addition, banks with greater reliance on fee income generating activities exhibit higher profitability. On the … contrary, the impact of non-deposit funding share on bank profitability is weak. In terms of bank riskiness, the evidence is … consistent with the conjecture that big, cost efficient and capitalized banks are less risky. As in case of bank profitability …

Persistent link: https://www.econbiz.de/10009958833

A lesson to learn from developed countries : the case of state branching deregulation in the US

Guillén, Jorge - In: Estudios de economía 36 (2009) 1, pp. 67-95

1994. One of the purposes of the branching restriction was to avoid bank concentration. The following paper addresses the …

Persistent link: https://www.econbiz.de/10009959097

Privatización, competencia por depósitos y desempeño bancarios

Ruiz-Porras, Antonio - In: Estudios de economía 37 (2010) 1, pp. 67-104

In this article we develop a microeconomic framework to study the relationships among privatization, competition for deposits and performance in banking. Particularly, we analyze banking privatization when competitive strategies of the Cournot and Stackelberg types are allowed. Our findings show...

Persistent link: https://www.econbiz.de/10009959107