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Asset price volatility and trading volume with rational beliefs
Wu, Ho-Mou; Guo, Wen-Chung - In: Economic Theory 23 (2004) 4, pp. 795-829
This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects...
Persistent link: https://www.econbiz.de/10005753371
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First and Second Order Impacts of Speculation on Commodity Price Volatility
Doroudian, Ali; Vercammen, James - Structure and Performance of Agriculture and … - 2012
This paper contributes to the debate on the link between speculation and price volatility in two ways. First, a simple … CAPM model is used to derive the demand for commodity futures contracts by institutional investors, and this derived demand … contract for rice in 1994. The theoretical and empirical analysis both demonstrate that speculation results in a first order …
Persistent link: https://www.econbiz.de/10010879375
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Stock return volatility and trading volume: evidence from the chinese stock market
Wang, Ping; Wang, Peijie; Liu, Aying - In: Journal of Chinese Economic and Business Studies 3 (2005) 1, pp. 39-54
This study investigates the dynamic relationship between stock return volatility and trading volume for individual stocks listed on the Chinese stock market as well as market portfolios of these stocks. We found that the inclusion of trading volume, which is used as a proxy of information...
Persistent link: https://www.econbiz.de/10005472347
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Les dangers de la bulle immobilière chinoise
Gaulard, Mylène - In: Revue Tiers-Monde n° 3 (2014) 3, pp. 77-96
emerged part of deeper economic difficulties. Indeed, the control of property speculation seems very risky for the Chinese … economy because this speculation reflects both the financial difficulties of the local authorities as well as more serious …
Persistent link: https://www.econbiz.de/10011127883
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Risk and investment decisions in stock markets: evidence from four Asian countries
Raza, Syed Ali; Jawaid, Syed Tehseen; Hussain, Adeel - In: International Journal of Managerial and Financial Accounting 6 (2014) 3, pp. 227-250
This study investigates the validity and acceptability of capital asset pricing model (CAPM) in four different stock …. Results confirm that CAPM accurately predict the expected returns of both short and long-term investments in Asian markets. It …
Persistent link: https://www.econbiz.de/10010944849
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Pricing of Equities in China: Evidence from the Shanghai Stock Exchange
Drew, Michael E.; Naughton, Tony; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2004
In this paper we compare the performance of the traditional CAPM with the multifactor model of Fama and French (1996 … model such as the one investigated in this paper does a much better job than the single index CAPM. …
Persistent link: https://www.econbiz.de/10005181689
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The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling
Saâdaoui, Foued - In: Computational Economics 42 (2013) 1, pp. 47-69
This paper examines the dynamic relationship between power spot prices and related trading volumes in one of the most emergent energy markets. Traditionally, investigating the bivariate stochastic processes has been dominated by linear econometrical methods that proved helpful especially in...
Persistent link: https://www.econbiz.de/10010989284
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Robust block bootstrap panel predictability tests
Westerlund J.; Smeekes S. - Graduate School of Business and Economics (GSBE), … - 2013
Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions....
Persistent link: https://www.econbiz.de/10010856546
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Negotiation and the clustering of corporate loan spreads
Chaudhry S.M.; Kleimeier S. - Graduate School of Business and Economics (GSBE), … - 2013
Most corporate loans are priced at rounded spreads, e.g. spreads that are a multiple of 25 basis points. Using a sample of 16,598 loan tranches signed by US borrowers between January 1988 and December 2010, this study explores the determinants of such interest rate clustering in the corporate...
Persistent link: https://www.econbiz.de/10010856547
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On the Efficiency of Risks Disclosures: New Evidence from French-Listed Firms
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX) - 2005
The purpose of this paper is to study the effect of operational, market and accounting risks disclosures on investors' disagreements about French firms' value. The paper provides evidence on risks reporting efficiency in reducing investors' disagreements about the implication for firm's value of...
Persistent link: https://www.econbiz.de/10010861407