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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
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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
markets can be very dangerous for "naive investors". Stock markets display often exploding volatility. They are characterized …
Persistent link: https://www.econbiz.de/10010009044
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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
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Restatement of the I-O coefficient stability problem
Dobrescu, Emilian - In: Journal of economic structures : JES; the official … 2 (2013), pp. 1-67
The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A—matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients...
Persistent link: https://www.econbiz.de/10010186053
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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 … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …
Persistent link: https://www.econbiz.de/10009958079
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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 …
Persistent link: https://www.econbiz.de/10010009392
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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
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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
investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …
Persistent link: https://www.econbiz.de/10010058691
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Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null
Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16
Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...
Persistent link: https://www.econbiz.de/10009957378
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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory
Bianco, Marcos José dal - In: Estudios de economía 35 (2008) 1, pp. 33-64
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...
Persistent link: https://www.econbiz.de/10009959087