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Are daily stock price indices in the major European equity market cointegrated? : tests and evidence

Kasibhatla, Krishna Moorti; Stewart, David B.; Sen, Swapan - In: The American economist : journal of Omnicron Delta … 50 (2006) 2, pp. 47-57

Persistent link: https://www.econbiz.de/10003429409

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

Persistent link: https://www.econbiz.de/10003670896

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … pair considered. For example, stock markets in the Netherlands and France are more closely and those in the United Kingdom … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …

Persistent link: https://www.econbiz.de/10011431447

Underpricing and index excess returns

Nippel, Peter (contributor); … - 2005

We study the link between underpricing of initial public offerings (IPOs) and index excess returns in secondary markets. We use a theoretical model to argue that underpricing of IPOs raises investors’ attention and, thereby, triggers investments in secondary markets. Our theoretical model...

Persistent link: https://www.econbiz.de/10003176663