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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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Structured bonds and Greek demons is the attack ”fair”?
Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277
The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...
Persistent link: https://www.econbiz.de/10010009068
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Valuation and investment profession
Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100
Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...
Persistent link: https://www.econbiz.de/10010185798
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Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic review of economics 1 (2012)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10010049034
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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-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
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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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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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Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets
Srinivasan, P.; Ibrahim, P. - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 65-80
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … channel of its new innovation. -- price discovery ; asymmetric volatility spillover ; cointegration ; VECM ; EGARCH model …
Persistent link: https://www.econbiz.de/10010097639
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Price leadership between spot and futures markets
Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107
This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building...
Persistent link: https://www.econbiz.de/10010118433