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Does the introduction of index futures stabilize stock markets? : further evidence from emerging markets
Kutan, Ali Mustafa; Shi, Yukun; Wei, Mingzhe; Zhao, Yang - In: International review of economics & finance : IREF 57 (2018), pp. 183-197
Persistent link: https://www.econbiz.de/10012033854
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Threshold non-linear dynamics between Hang Seng stock index and futures returns
Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486
Persistent link: https://www.econbiz.de/10009509864
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012
This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...
Persistent link: https://www.econbiz.de/10009750074
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Commodity markets volatility transmission : roles of risk perceptions and uncertainty in financial markets
Gozgor, Giray; Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Journal of international financial markets, … 44 (2016), pp. 35-45
Persistent link: https://www.econbiz.de/10011690371
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The high-frequency impact of macroeconomic announcements on the Brazilian futures markets
Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 185-222
Persistent link: https://www.econbiz.de/10011644164
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The interaction between foreigners' trading and stock market returns in emerging Europe
Ülkü, Numan - In: Journal of empirical finance 33 (2015), pp. 243-262
Persistent link: https://www.econbiz.de/10011556886
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Behaviour of stock return autocorrelation in the GCC stock markets
Chowdhury, Shah Saeed Hassan; Rahman, M. Arifur; … - In: Global business review 16 (2015) 5, pp. 737-746
Persistent link: https://www.econbiz.de/10011409651
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The elusive nature of motives to trade : evidence from international stock markets
Ge̜bka, Bartosz; Serwa, Dobromił - In: International review of financial analysis 39 (2015), pp. 147-157
Persistent link: https://www.econbiz.de/10011573159
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The effect of investor sentiment on feedback trading and trading frequency : evidence from Taiwan intraday data
Hu, Wu-Yueh; Huang, Chih-Jen; Chang, Heng-Yu; Lin, Wei-Ju - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 111-120
Persistent link: https://www.econbiz.de/10011603397
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Bayesian analysis of time-varying interactions between stock returns and foreign equity flows
Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25
This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...
Persistent link: https://www.econbiz.de/10012594935