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THE IMPLICATIONS OF LIQUIDITY CRISES IN THE CONTEXT OF EMERGING CAPITAL MARKET

Birău, Felicia Ramona - In: Revista Tinerilor Economisti (The Young Economists Journal) 1 (2012) 18, pp. 189-193

This article aims to highlight the implications of liquidity crises in the context of emerging capital market. Capital markets, and especially emerging capital market appear to behave notably differently during periods of liquidity crises in comparison with periods of stability. The concept of...

Persistent link: https://www.econbiz.de/10010592957

The Market Microstructure of Central Bank Intervention

Dominguez; K. - Research Seminar in International Economics, University … - 1997

One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. Until recently, data constraints have limited our ability to examine this issue. The Olsen and Associates high-frequency spot market data greatly expand the range of...

Persistent link: https://www.econbiz.de/10005551424

A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm

Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364

This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

Persistent link: https://www.econbiz.de/10011268784

2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors

Guidi, Francesco; Gupta, Rakesh - Department of Accounting, Finance and Economics, …

Persistent link: https://www.econbiz.de/10010797750

Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: Journal of International Money and Finance 41 (2014) C, pp. 95-109

indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon …

Persistent link: https://www.econbiz.de/10010743972

Econometric analysis of present value models when the discount factor is near one

West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches one as the sample size...

Persistent link: https://www.econbiz.de/10010594955

Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market

BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848

Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this … out-of-sample Value-at-Risk (VaR) analyses based on Kupiec-LR test by using FIGARCH(1, d, 1) and FIAPARCH (1, d, 1) models … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …

Persistent link: https://www.econbiz.de/10010938176

Higher-order beliefs among professional stock market forecasters: some first empirical tests

Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

that the expected average of all forecasters' forecasts (the expected consensus forecast) influences an individual … forecaster's own forecast. This looks like herding. In our survey, forecasters do not herd for reputational reasons, however … our study, we conclude that our results indicate that the incorporation of the expected consensus forecast into individual …

Persistent link: https://www.econbiz.de/10005027063

State-Run Investment Funds: Major Institutional Investors on Global Financial Markets

Sedláček, Petr - In: Acta Oeconomica Pragensia 2010 (2010) 2, pp. 3-22

The article provides a basic description and taxonomy of sovereign wealth funds, rapidly gaining importance in the international monetary and financial systems. SFWs are pools of assets owned and managed directly or indirectly by governments to achieve specific objectives. Tentative estimates of...

Persistent link: https://www.econbiz.de/10008500686

An intertemporal capital asset pricing model with heterogeneous expectations

Koutmos, Dimitrios - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1176-1187

This paper extends the intertemporal capital asset pricing model (ICAPM) to integrate the heterogeneous trading behavior of three groups of investors; rational utility maximizers, positive feedback, or momentum, traders, and fundamental traders. Using several contemporary fundamental factors to...

Persistent link: https://www.econbiz.de/10010588051