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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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Regulation Effects on Stock Returns in Shanghai and Shenzhen Exchanges
Kedar-Levy, Haim; Yu, Xiaoyan; Kamesaka, Akiko; … - In: Journal of Financial Transformation 30 (2010), pp. 133-139
We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...
Persistent link: https://www.econbiz.de/10008751497
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The Weak-form Efficiency of Chinese Stock Markets
Lim, Kian-Ping; Habibullah, Muzafar Shah; Hinich, Melvin J. - In: Journal of Emerging Market Finance 8 (2009) 2, pp. 133-163
Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form efficiency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both...
Persistent link: https://www.econbiz.de/10010772789
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The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia
Fang, Chung-Rou; You, Shih-Yi - In: International Review of Economics & Finance 29 (2014) C, pp. 330-338
Although a lot of empirical research has studied the relationship between changes in oil prices and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large Newly Industrialized Economies (NIEs). Therefore, this paper...
Persistent link: https://www.econbiz.de/10011048270
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Currency excess returns and global downside market risk
Atanasov, Victoria; Nitschka, Thomas - In: Journal of International Money and Finance 47 (2014) C, pp. 268-285
We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Using the US dollar as numeraire currency, our results suggest that global...
Persistent link: https://www.econbiz.de/10010906602
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The Fama French Model or the Capital Asset Pricing Model: International Evidence
Alves, Paulo - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 79-89
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10010938516
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Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46
The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South … compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …
Persistent link: https://www.econbiz.de/10010960338
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …
Persistent link: https://www.econbiz.de/10011213044
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem …
Persistent link: https://www.econbiz.de/10009372405