Showing 1 - 10 of 3,816
This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...
Persistent link: https://www.econbiz.de/10011887519
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...
Persistent link: https://www.econbiz.de/10011883488
This paper explores how systematic higher order moments (co-skewness and co-kurtosis) are priced in Borsa Istanbul. We … models conditional on market movements. The findings reveal that co-skewness has statistically significant effects on …
Persistent link: https://www.econbiz.de/10015152576
Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence...
Persistent link: https://www.econbiz.de/10015327272
The financial market turbulence in 1998, as other crises previously, produced strong price movements in the securities markets worldwide. This reflected, first, a general reassessment of credit risk, and, second, a drying-up of liquidity even in some of the largest mature securities markets. As...
Persistent link: https://www.econbiz.de/10013157688
The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using...
Persistent link: https://www.econbiz.de/10013013005
We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...
Persistent link: https://www.econbiz.de/10012961374
This paper studies the pricing impact of aggregate shifts in the U.S. demand for foreign stocks on the cross-section of U.S. stocks. Measuring the sensitivity of U.S. firm-level returns to innovations in international stock flows, I document that stocks with higher sensitivity to U.S. investor's...
Persistent link: https://www.econbiz.de/10013018175
In this article, we are going to attempt to explain the origin, function, purpose and relation of the Stock Market to the modern financial system in India with the help of government documents, journals and valuable books for meaningful conclusion
Persistent link: https://www.econbiz.de/10013023257
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...
Persistent link: https://www.econbiz.de/10013256277