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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

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

Persistent link: https://www.econbiz.de/10010009119

Macroeconomic effects on DJSI-World returns

Sariannidis, Nikolaos; Koskosas, Ioannis; Kartalis, Nikos; … - In: International journal of economic sciences and applied … 2 (2009) 2, pp. 95-110

Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the … relation between D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchange rate is investigated. Research … results show that 10 year bond value affects positively the value of D.J.S.I.-World. However, there is a negative relation …

Persistent link: https://www.econbiz.de/10009958040

The forecasting performances of volatility models in emerging stock markets : is a generalization really possible?

Iltuzer, Zeynep; Tas, Oktay - In: Journal of applied finance & banking 3 (2013) 2, pp. 49-73

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in...

Persistent link: https://www.econbiz.de/10010148073

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. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

Persistent link: https://www.econbiz.de/10010148075

An empirical analysis of the bond market behavior and cointegration in the selected APEC’s countries

Nguyen, Chu V. - In: Journal of applied finance & banking 2 (2012) 6, pp. 31-39

This article examines the behavior of Treasury bond rates in Asia-Pacific Economic Cooperation’s countries. Granger causality tests based on the vector error correction model (VECM) suggest bidirectional Granger causalities between changes in (i) the Canadian and Malaysian Treasury bond rates,...

Persistent link: https://www.econbiz.de/10010118426

Short and long-term effects of September 11 on stock returns : evidence from US defense firms

Essadam, Naceur; Douch, Mohamed - In: Journal of applied finance & banking 3 (2013) 3, pp. 239-253

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...

Persistent link: https://www.econbiz.de/10010148080

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

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

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

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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