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The dynamics of market share’s growth and competition in quadratic mappings
Dominique,C-René; Rivera Sollis, Luis Eduardo - In: Advances in management & applied economics 3 (2013) 2, pp. 219-235
This paper shows that the observed output of any market, placed within the confine of a quadratic map, can characterize the state of that market. Such an approach explains the process of market share’s growth and its pitfalls, the consequences of broken symmetry of scaling, as well as the...
Persistent link: https://www.econbiz.de/10010097689
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Portfolio Theory forward testing
Davidsson, Marcus - In: Advances in management & applied economics 3 (2013) 3, pp. 225-244
Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few … empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will … in this paper empirically investigate how successful portfolio theory is when it comes to generating large positive …
Persistent link: https://www.econbiz.de/10010148028
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Can independent directors improve the quality of earnings? : evidence from Taiwan
Lee, Yung-chuan - In: Advances in management & applied economics 3 (2013) 3, pp. 45-66
This study investigated companies publicly listed in Taiwan from 2002 to 2010 to examine whether independent directors improve the quality of earnings and analyzed whether the control rights of a controlling shareholder mitigate the impact of independent directors on earnings quality. Empirical...
Persistent link: https://www.econbiz.de/10010148040
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Alternatives to the public sector lender-of-last-resort
Choudhry, Moorad; Landuyt, Gino - In: Journal of applied finance & banking 2 (2012) 4, pp. 155-165
After the 2008 financial crash governments and central banks had to rescue banks which had become insolvent or illiquid, and whose failure threatened the Western financial system. The bill for this taxpayer funded bailout came to over USD 20 trillion globally, including assistance from US, EU,...
Persistent link: https://www.econbiz.de/10010058673
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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 Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...
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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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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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
It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...
Persistent link: https://www.econbiz.de/10010058691
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The amendment and empirical test of arbitrage pricing models
Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of applied finance & banking 1 (2011) 1, pp. 163-177
The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...
Persistent link: https://www.econbiz.de/10009958478