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There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related … question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between … stocks. If the answer is affirmative, and the lengths of the lead lag time have long fallen below the human reaction time …
Persistent link: https://www.econbiz.de/10014285876
. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long …
Persistent link: https://www.econbiz.de/10010492392
yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from …
Persistent link: https://www.econbiz.de/10012039605
time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …
Persistent link: https://www.econbiz.de/10011449859
Persistent link: https://www.econbiz.de/10012627781
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
We investigate the effect of economic crises on the direction of information flow and price discovery efficiency of spot and futures market by considering the near month Nifty50 index futures and its corresponding spot index. The period of study commences from January, 2004 to December, 2015 and...
Persistent link: https://www.econbiz.de/10012952496
Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity …
Persistent link: https://www.econbiz.de/10012970640
:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …
Persistent link: https://www.econbiz.de/10012995658
Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a … cointegration tests and DCC-GARCH analysis also reveal that Bovespa and ISE reacted strongly not only to systemic-wide crisis as …
Persistent link: https://www.econbiz.de/10013094552