Narrow search
Showing 1 - 10 of 2,691
Cover Image
Jumps and Liquidity in the U.S. Stock Market
Goel, Rohit; Malik, Sheheryar - 2021
We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are...
Persistent link: https://www.econbiz.de/10013231619
Cover Image
Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis
Dreger, Christian; Fidrmuc, Jarko - 2011
We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional...
Persistent link: https://www.econbiz.de/10011518862
Cover Image
Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis
Dreger, Christian; Fidrmuc, Jarko - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10011387304
Cover Image
Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates : The Asian Crisis vs. the Global Crisis
Han, Young Wook - 2016
This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …
Persistent link: https://www.econbiz.de/10013006577
Cover Image
Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the asian crisis vs. the global crisis
Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27
This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …
Persistent link: https://www.econbiz.de/10011568197
Cover Image
Empirical Evidence on Indian Stock Market Efficiency in Context of the Global Financial Crisis
Mishra, P. K. - 2012
The study of stock market efficiency has been the objective of many researches across the globe since the last few decades. But the evidence is mixed on whether the stock market is efficient. While some studies conclude that the stock markets are efficient, other studies cast doubt on this...
Persistent link: https://www.econbiz.de/10013116490
Cover Image
Single-Firm Event Studies, Securities Fraud, and Financial Crisis - Problems of Inference
Baker, Andrew C. - 2016
volatility, a base event study will cause too many returns to be identified as statistically significant. Even recently proposed … market volatility has increased.Over previous decades, the judiciary has steadily moved toward a reliance on empirics and …
Persistent link: https://www.econbiz.de/10013003243
Cover Image
Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18
volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …
Persistent link: https://www.econbiz.de/10012022043
Cover Image
International Announcements and Wti Crude Oil Futures : A Case Study of the 2008 Global FInancial Crisis
Gkillas, Konstantinos - 2019
direction, magnitude and significance of impacts are assessed in returns and volatility for price, volume and open interest …
Persistent link: https://www.econbiz.de/10012901423
Cover Image
The roles of news and volatility in stock market correlations during the global financial crisis
Mun, Melissa; Brooks, Robert - In: Emerging markets review 13 (2012) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10010219475