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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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On the links between stock and commodity markets' volatility
Joëts, Marc; Mignon, Valérie; Creti, Anna - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010992390
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Volatility and Its Persistence in Indian Stock Market: A Case Study of 30 SCRIPS
Mohanty, Pravir Kumar; Kamaiah, B - Institute for Social and Economic Change (ISEC) - 2000
show that the variance of returns varies over time and that the ARCH and GARCH models capture the volatility persistence. …
Persistent link: https://www.econbiz.de/10010854988
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STUDIES ON FINANCIAL MARKETS IN EAST ASIA
Susai, Masayuki (contributor); Uchida, Shigeru (contributor) - World Scientific Publishing Co. Pte. Ltd.
This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...
Persistent link: https://www.econbiz.de/10010883054
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Modeling the Impact of News on volatility: The Case of Iran
Mehrara, Mohsen; Abdoli, Ghahreman - In: Iranian Economic Review 10 (2005) 1, pp. 65-83
compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to …
Persistent link: https://www.econbiz.de/10010928028
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Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy
Riccetti, Luca; Russo, Alberto; Gallegati, Mauro - Volkswirtschaftliche Fakultät, … - 2015
of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …
Persistent link: https://www.econbiz.de/10011253063
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011265523
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Stock Prices, Earnings and Expected Dividends
Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1988
volatility directly implies the forecastability of long-horizon returns. …
Persistent link: https://www.econbiz.de/10005249149
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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Impact of the Foreign Institutional Investments on Stock Market: Evidence from India
GARG, ASHISH; BODLA, B. S. - In: Indian Economic Review 46 (2011) 2, pp. 303-322
GARCH Model for determining the impact of FIIs on share market return and volatility, respectively. The results show that … volatility of Indian stock market as well as its return has declined after opening the stock market for FIIs. …
Persistent link: https://www.econbiz.de/10010548320