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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010406272

Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices : Short Run and Long Run Analysis

Lingaraja, Kasilingam - 2020

This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive...

Persistent link: https://www.econbiz.de/10012832814

Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis

Wu, Jason - 2011

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …

Persistent link: https://www.econbiz.de/10013127087

Rational bubbles and fractional integration

Kruse, Robinson - 2008

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...

Persistent link: https://www.econbiz.de/10010265683

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized error distribution were incorporated in the GARCH...

Persistent link: https://www.econbiz.de/10011471089

Another look at cryptocurrency bubbles

Gronwald, Marc - 2019

This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said to exhibit features of bubbles, the same applies to...

Persistent link: https://www.econbiz.de/10012033146

Quantile dependence between foreign exchange market and stock market : the case of Korea

Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

Persistent link: https://www.econbiz.de/10011765039

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Does monetary policy affect stock market uncertainty? : Empirical evidence from the United States

Jovanović, Mario - 2011

This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...

Persistent link: https://www.econbiz.de/10008935254

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

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