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Measuring the performance of the banking system case of Vietnam (1990-2010)
Ngo, Dang-Thanh - In: Journal of applied finance & banking 2 (2012) 2, pp. 289-312
Banking is the core of the financial system which has important role in attracting deposits to provide credits to borrowers, services to customers and booting the economic development. This paper applied a modified DEA window analysis to analyze the performance changes through time of the...
Persistent link: https://www.econbiz.de/10010009114
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Total factor productivity of Thai banks in 2007-2010 : an application of DEA and Malmquist index
Ngo, Dang-thanh; Linh Thi Phuong Nguyen - In: Journal of applied finance & banking 2 (2012) 5, pp. 27-42
This research employs the Data Envelopment Analysis (DEA) and Malmquist index approaches to evaluate the efficiency and Total Factor Productivity (TFP) changes of Thai banking system in the period of 2007-2010 using panel data of 27 major banks in Thailand. This paper shows that the global...
Persistent link: https://www.econbiz.de/10010058698
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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98
volatility expressed as a function of quantifiable market parameters and known variables. We discover the existence of two values … of the volatility for an underlying asset, in the referred model, which means that the model's traditional assumptions do … not define it univocally. We find the cause that the Black-Cox model contains two values of the volatility. Besides, we …
Persistent link: https://www.econbiz.de/10009957380
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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
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Testing for linear and nonlinear causality between crude oil price changes and stock market returns
Anoruo, Emmanuel - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 75-92
This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...
Persistent link: https://www.econbiz.de/10009958081
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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162
Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...
Persistent link: https://www.econbiz.de/10009958479
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
benchmark with a marginal lower volatility as the benchmark, respectively, 28.08% p.a. with 7.99 percent units higher volatility …
Persistent link: https://www.econbiz.de/10009958483
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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 independently of the currently dominant situation. This study pursues the question of whether bond market analysts are affected by status quo bias. We evaluated interest rate forecast...
Persistent link: https://www.econbiz.de/10009958484
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¿Cómo valorar los planes de pensiones del sistema individual en España?
García Padrón, Yaiza; García Boza, Juan - In: Estudios de economía 33 (2006) 1, pp. 21-43
We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...
Persistent link: https://www.econbiz.de/10009959069
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An interpretation of an affine term structure model for Chile
Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...
Persistent link: https://www.econbiz.de/10009959071