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A Theory of Aggregate Demand Fluctuations and Asset Bubbles
Krishnan, Rohit - 2010
We look at the financial markets as represented by a network of agents similar to bond percolation models in physics or epidemiology models. We aim to figure out how an agent based network model can cause perturbations that can cause failures of the traditional economic theory, specifically the...
Persistent link: https://www.econbiz.de/10013143285
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Macroeconomic Determinants of Stock Price Variations : An Economic Analysis of KSE-100 Index
Hussain, Altaf - 2016
negative impact on KSE-100 index, while money supply has found to be a significant and positive determinant of stock prices. On … the other hand gross domestic product have a positive but insignificant impact on stock prices in Pakistan …
Persistent link: https://www.econbiz.de/10013001678
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Asset Price Bubbles with Specific Focus on Stock Prices in Pakistan
Ahmad, Nawaz - 2015
nonlinear trend with stock prices. Moreover, the graph also shows an unequal spread with the stock prices, which indicate … Heteroskedasticity. Then, descriptive statistics test shows high Standard Deviations for stock prices compared with CPI and M2I, which … indicate a higher volatility in stock prices. Finally, the hypothesis test for equality of variance concluded the presence of …
Persistent link: https://www.econbiz.de/10013019293
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Is Someone Front-Running You Around News Releases?
Aldridge, Irene - 2016
This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly...
Persistent link: https://www.econbiz.de/10012999726
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Causal Influence of Macroeconomics Factors Shock on Indian Stock Market : Evidence from BSE Index
S, Baranidharan - 2022
This research paper has analyzed the spillover of BSE stock returns by the regime ofmacroeconomic variables. The study selected sample macroeconomic indicators such as FII, IFT,M3, Production Index and WPI from the period of 1-01-2010 to 31.12.2019 from the RBI websiteand www.bseindia.com. The...
Persistent link: https://www.econbiz.de/10014238335
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Market risk factors and stock returns in the Nigerian bourse
Ogiemudia, Omorose A.; Osifo, Osagie; Eghosa, Igbinovia L. - In: CBN journal of applied statistics 13 (2022) 2, pp. 79-115
This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic...
Persistent link: https://www.econbiz.de/10014364194
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New instruments for banking regulation and monetary policy after the crisis
Detzer, Daniel - 2012
price inflation. A theoretical framework of asset pricing based on the ideas of Keynes and Minsky is developed, within which … suitable for the task of tackling asset price bubbles. -- Monetary Policy ; Banking Regulation ; Asset Prices ; Bubbles … ; Minsky ; Financial Instability Hypothesis ; Asset Based Reserve Requirements ; Capital Requirements ; Macroprudential …
Persistent link: https://www.econbiz.de/10009550219
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Interactions between the real economy and the stock market
Westerhoff, Frank H. - 2011
We develop a simple behavioral macro model to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian goods market approach while the setup for the stock market includes heterogeneous speculators. Using a mixture of analytical and...
Persistent link: https://www.econbiz.de/10009424772
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Animal spirits, the stock market, and the unemployment rate : some evidence for German data
Fritsche, Ulrich; Pierdzioch, Christian - 2016 - First version: January 2016
Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German...
Persistent link: https://www.econbiz.de/10011415821