Similar Search Results

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …

Persistent link: https://www.econbiz.de/10014233046

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models

Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225

January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we …Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional … determine the best hedging instrument(s). Our findings prove that CDS indices are the best hedging instruments for both Islamic …

Persistent link: https://www.econbiz.de/10013183878

Do Instabilities in national macroeconomic factors contribute to channeling volatility spillover from the global to the Islamic equity market?

Muharam, Harjum; Najmudin, Najmudin; Mawardi, Wisnu; … - In: Comparative economic research : Central and Eastern Europe 24 (2021) 1, pp. 103-121

derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure …

Persistent link: https://www.econbiz.de/10012664825

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24

Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...

Persistent link: https://www.econbiz.de/10011590636

Forecasting the market risk premium with artificial neural networks

Oikonomikou, Leoni Eleni - 2016 - Revised version: November 2015

This paper aims to forecast the Market Risk premium (MRP) in the US stock market by applying machine learning techniques, namely the Multilayer Perceptron Network (MLP), the Elman Network (EN) and the Higher Order Neural Network (HONN). Furthermore, Univariate ARMA and Exponential Smoothing...

Persistent link: https://www.econbiz.de/10011454074

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

Persistent link: https://www.econbiz.de/10010291779

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

How does European Integration affect the European Stock Markets?

Erdogan, Burcu - 2009

Persistent link: https://www.econbiz.de/10010300155

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Princ, Michael - 2010

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Persistent link: https://www.econbiz.de/10010322302

Routes to Equity Market Integration - The Interplay between Politicians, Investors and Managers

Oxelheim, Lars - 2000

Most econometric studies of equity market integration suggest that national markets are increasingly becoming part of a global equity market. As regards the extent of this integration, however, the results are often inconclusive. Further analysis calls for a closer scrutiny of the basic...

Persistent link: https://www.econbiz.de/10010334944

1
2
3
4
5
6
7
8
9
10
Next
Last