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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 impact of stock, energy and foreign exchange markets on the sugar market

Sariannidis, Nikolaos - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 109-117

This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to...

Persistent link: https://www.econbiz.de/10009958046

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

Medidas extendidas de restricciones a los flujos de capitales

Selaive, Jorge; Velásquez, Beatriz; Villena, José Miguel - In: Estudios de economía 36 (2009) 1, pp. 97-115

In this work we extend a De Jure measure of capital account restrictions, previously assembled by Miniane (2004) for 34 economies, to a set of 181 countries for the period 1996-2005. Additionally, having in mind the pitfalls of this indicator, we propose two new measures. The first excludes...

Persistent link: https://www.econbiz.de/10009959096

Share repurchases as a form of payout for shareholders

Kowerski, Mieczysław - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 37-54

Share repurchase happens when a company repurchases its own shares for any purpose determined by the general meeting of shareholders, including their further sale. Share repurchase is like dividend payout a form of transferring profit to shareholders. However, contrary to dividends, it is quite...

Persistent link: https://www.econbiz.de/10009959730

Volatility modeling for forecasting stock index with fixed parameter distributional assumption

Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...

Persistent link: https://www.econbiz.de/10010118432

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

Banking stability, market structure and financial system in emerging countries

Wen, Shiow-ying; Yu, Jean - In: Journal of applied finance & banking 3 (2013) 3, pp. 1-13

The literature wisdom shows that both theoretical and empirical studies provide contradictory predictions about the relationship between market concentration or competiveness and financial stability in the banking system. In the past two decades, the structure of banking industry of many...

Persistent link: https://www.econbiz.de/10010148095

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