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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

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 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 …

Persistent link: https://www.econbiz.de/10010058686

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

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

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

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

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

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

A risk management proposal to the international contractors industry from the financial perspective

Berk, Cem - In: Journal of applied finance & banking 2 (2012) 5, pp. 199-216

Construction companies face threats from competition, the need to adapt to modern technology, and changes in customer expectations. These issues require efficient risk management techniques. However, construction companies are late adopters of total quality management, one of the major risk...

Persistent link: https://www.econbiz.de/10010058687

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