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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010515402
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
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From COVID-19 Herd Immunity to Investor Herding in International Stock Markets : The Role of Government and Regulatory Restrictions
Kizys, Renatas - 2020
We study if government response to the novel coronavirus COVID-19 pandemic can mitigate investor herding behaviour in international stock markets. Our empirical analysis is informed by daily stock market data from 72 countries from both developed and emerging economies in the first quarter of...
Persistent link: https://www.econbiz.de/10012834512
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Quant Research Ideas to Test for ETF Option and Equity Markets in China and Japan
Zhang, Jingzhong - 2019
We present three in-detail quantitative trading ideas for equity markets in China and Japan. First idea discusses the emerging 50 ETF option markets in China and the feasibility of a covered call strategy. Second idea evaluates the opportunities implied by the ETF purchase program of Bank of...
Persistent link: https://www.econbiz.de/10012903283
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Foreign Portfolio Investment and Stock Market Performance in Nigeria
Idowu, Adbulkadri - 2019
The paper examines the impact of foreign portfolio investment (FPI) on stock market performance in Nigeria using monthly data from year 2006 to 2015. Results from ARDL bound testing approach reveals that FPI have adverse effect on market performance. However, the role of FPI altered during the...
Persistent link: https://www.econbiz.de/10012893824
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2017
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of...
Persistent link: https://www.econbiz.de/10012973844
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Appetite for Risk in Emerging Stock Markets
Roszkowska, Paulina - 2016
Based on qualitative empirical research, we examine the extent to which Central European emerging stock markets were affected by the recent international financial crisis, and how the current investment climate influences investments in Polish equities. We find that global financial crisis...
Persistent link: https://www.econbiz.de/10013007456
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Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program
Liu, Clark - 2020
Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange … volatility compared with unconnected stocks with similar firm characteristics, especially for stocks with higher market beta. The … beta effect on stock prices is stronger for stocks with higher beta-to-idiosyncratic variance ratios and is reversed within …
Persistent link: https://www.econbiz.de/10012855747
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of...
Persistent link: https://www.econbiz.de/10013051425
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Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?
Ong, Li - 2014
Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...
Persistent link: https://www.econbiz.de/10013056805