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Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas) : Evidence from Country Level Stock Returns
Jayasinghe, Prabhath - 2014
This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...
Persistent link: https://www.econbiz.de/10013051472
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Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms
Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37
- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …
Persistent link: https://www.econbiz.de/10009743539
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Price Discovery of a Speculative Asset : Evidence from a Bitcoin Exchange
Ghysels, Eric - 2018
aggressiveness within the first 10 tiers, but that this pattern reverses in the outer layers of the book. In a high volatility …
Persistent link: https://www.econbiz.de/10012910270
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Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities
Kayral, Ihsan Erdem - 2017
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...
Persistent link: https://www.econbiz.de/10012950808
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Multi-Elements of Exchange Rate Exposure : Evidence from Japanese Sectoral Returns
Jayasinghe, Prabhath - 2014
exposure: (a) sensitivity of stock returns to exchange rate changes; (b) sensitivity of stock returns to the volatility of … exchange rate changes; (c) sensitivity of conditional variance of returns to exchange rate volatility; and (d) dynamic …
Persistent link: https://www.econbiz.de/10013051496
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Time-Varying Exchange Rate Exposure : Evidence from Emerging Markets
Jayasinghe, Prabhath - 2015
This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...
Persistent link: https://www.econbiz.de/10013033258
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Modeling the effects of investor sentiment and conditional volatility in international stock markets
Uygur, Utku; Taş, Oktay - In: Journal of applied finance & banking 2 (2012) 5, pp. 239-260
objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …
Persistent link: https://www.econbiz.de/10009673686
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The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data
Schulmeister, Stephan - 2010
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...
Persistent link: https://www.econbiz.de/10013135708
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data
Schulmeister, Stephan - 2021
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....
Persistent link: https://www.econbiz.de/10013226778