Showing 1 - 10 of 290
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290
In this paper we study the presence of calendar anomalies in the main Latin- American stock markets, for the 1993 to 2007 period. The literature has shown that the detection of those effects may depend on error distribution assumptions (Baker et al., 2008), and that their existence could be due...
Persistent link: https://www.econbiz.de/10011538731
China's stock market has grown rapidly since its introduction in 1991 and it has become one of the world's leading stock markets. This study is concerned with the dependence structures that exist between the Chinese stock market and other major stock markets including those in the US, UK, Japan,...
Persistent link: https://www.econbiz.de/10013029367
This study is the first attempt to investigate stock market returns and liquidity reactions to the announcements of fiscal, monetary, prudential and other COVID-19 policies in 64 countries during 2020. The results reveal generally that financial and economic policies announcements boosted stock...
Persistent link: https://www.econbiz.de/10013491980
In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the...
Persistent link: https://www.econbiz.de/10013137351
This study empirically examined the relationship between stock market performance and taxation in Malaysia over the period 1980 to 2008. The Gregory Hansen methodology was utilized to examine which tax collected by Malaysia's Government most impacted stock market performance in Malaysia. The...
Persistent link: https://www.econbiz.de/10013087510
We compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from...
Persistent link: https://www.econbiz.de/10012928328
This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...
Persistent link: https://www.econbiz.de/10014500850
This paper examines the impact of renminbi revaluation on foreign firm valuation and, by implication, firm prospects. To deal with the potential endogeneity of exchange rate movements, we consider not just official announcements of exchange rate policy but also 27 instances of market-perceived...
Persistent link: https://www.econbiz.de/10013128577
In this paper we study the presence of calendar anomalies in the main Latin- American stock markets, for the 1993 to 2007 period. The literature has shown that the detection of those effects may depend on error distribution assumptions (Baker et al., 2008), and that their existence could be due...
Persistent link: https://www.econbiz.de/10009668346