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This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...
Persistent link: https://www.econbiz.de/10013251128
This paper aims to investigate the pricing efficiency of Saudi Sharia-compliant (i.e. Islamic) exchange-traded funds (ETFs). The paper adheres to a positivist research philosophy with a deductive research approach where data is collected, analyzed and interpreted to examine a hypothesis....
Persistent link: https://www.econbiz.de/10012827920
Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are …
Persistent link: https://www.econbiz.de/10011900246
Persistent link: https://www.econbiz.de/10012543282
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the most beneficial tradable asset in...
Persistent link: https://www.econbiz.de/10011760306
Volatility indices have been designed for many markets as gauges to measure investors' fear of market crash. The recent market turmoil has produced historically high volatility levels, in some cases around four times higher than their previous average levels. We take a look at the behavior of...
Persistent link: https://www.econbiz.de/10013082816
"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing …. -- Collateralized debt obligations (CDO) ; arbitrage CDOs ; credit rating ; expected loss profile ; bond representation ; systematic …
Persistent link: https://www.econbiz.de/10003891104
timing opportunity resulting in a maximum statistical arbitrage opportunity corresponding to a profit of 19% p.a. with an … as the benchmark. -- statistical arbitrage ; financial crises ; equity price busts ; cointegration …
Persistent link: https://www.econbiz.de/10009241516
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …
Persistent link: https://www.econbiz.de/10011620013