This paper analyzes the interday stability of the price process using transaction data. While the vast majority of empirical studies on the microstructure of financial markets rests on the tacit assumption that observed prices are generated by a time-invariant price process, we question this...

This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below...

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical...

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have...

Derivatives, such as futures or options, are financial contracts which derive their value from a spot price, which is called the “underlying”. Derivative products like index futures, stock futures, index options and stock options have become important instruments of price discovery,...