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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
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Foreign exchange market efficiency : empirical results for the USD/EUR market
Czech, Katarzyna Anna; Waszkowski, Adam - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 3, pp. 1-9
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial...
Persistent link: https://www.econbiz.de/10010078132
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An empirical study on weak-form of market efficiency of selected Asian stock markets
Patel, Nikunj R.; Radadia, Nitesh; Dhawan, Juhi - In: Journal of applied finance & banking 2 (2012) 2, pp. 99-148
Composite and HANGSENG. BSE Sensex could be considered as high risk markets as it has reported the highest Standard Deviation …
Persistent link: https://www.econbiz.de/10010009119
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The effects of surprise political events on quoted firms : the March 2004 election in Spain
Castells, Pau; Trillas, Francesc - In: SERIEs : Journal of the Spanish Economic Association 4 (2013) 1, pp. 83-112
In the last days of the electoral campaign for the 2004 general election in Spain, on Thursday March 11th 2004, a series of simultaneous terror attacks caused the death of 191 persons in commuting trains in the capital Madrid. Four days later, the opposition party won the election, against all...
Persistent link: https://www.econbiz.de/10010148155
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Incorporating weekend information in stock prices : evidence from Israeli stock market
Kudryavtsev, Andrey; Cohen, Gil; Pavlodsky, Julia - In: Journal of finance and investment analysis 1 (2012) 4, pp. 1-14
-synchronous trading - a trading day when TASE is the only active stock exchange in the world. We find that TASE returns on Sundays are … prices on Sundays just "close up the differences" from the US exchanges by incorporating the news that arrive to the world … markets during the weekends in Israel, but do not reflect any additional news of worldwide relevance arriving when the world …
Persistent link: https://www.econbiz.de/10010148279
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Volatility impact of stock index futures trading : a revised analysis
Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126
volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …
Persistent link: https://www.econbiz.de/10010058694
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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
determine their investment decisions in contrast with investors in the stock market. The risk weighted returns however represent …
Persistent link: https://www.econbiz.de/10009958067
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The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion
Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213
, which mainly focuses on the United States data, our paper simply replicates the closed form solution estimation, as in Mehra … lead to bizarre values of the coefficient of relative risk aversion. On the other side, we claim that the key consumption …
Persistent link: https://www.econbiz.de/10010009117
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Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms
Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37
Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures …- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their …
Persistent link: https://www.econbiz.de/10010148075