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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

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

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

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

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

Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...

Persistent link: https://www.econbiz.de/10010148077

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

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

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

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