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Investment Disputes and Abnormal Volatility of Stocks
Baruník, Jozef - 2020
Dramatic growth of investment disputes between foreign investors and host states rises serious questions about the impact of those disputes on investors. This paper is the first to explain increased uncertainty of investors about the outcome of arbitration, which may or may not lead to...
Persistent link: https://www.econbiz.de/10012830824
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Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine
Patel, Ritesh Jayantibhai; Kumar, Sanjeev; Bouri, Elie; … - In: International review of economics & finance : IREF 87 (2023), pp. 143-162
Persistent link: https://www.econbiz.de/10014471815
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The Relationship between Stock Returns and Volatility in the Seventeen Largest International Stock Markets : A Semi-Parametric Approach
Dimitriou, Dimitrios I. - 2013
We empirically investigate the relationship between expected stock returns and volatility in the twelve EMU countries as well as five major out of EMU international stock markets. The sample period starts from December 1992 until December 2007 i.e. up to the recent financial crisis. Empirical...
Persistent link: https://www.econbiz.de/10013091908
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International Financial Integration : Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries
Vo, Xuan Vinh - 2017
This paper investigates the interdependence between the Vietnamese stock market and other influential stock markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis. A VAR model is used to estimate the...
Persistent link: https://www.econbiz.de/10012968438
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Oil Price Volatility and the Role of Speculation
Beidas-Strom, Samya - 2015
model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and …
Persistent link: https://www.econbiz.de/10013028690
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Fiscal Policy and Regional Inflation in a Currency Union
Duarte, Margarida - 2012
This paper investigates the ability of a region participating in a currency union to affect its inflation differential with respect to the union through fiscal policy. We study the interaction between regional fiscal policy and inflation differentials in a flexible-price, two-region model with...
Persistent link: https://www.econbiz.de/10013097140
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Macroeconomic Stability : Transition Towards the Nominal Exchange Rate Stability
Brázdik, František - 2013
The novelty of this work is in the presentation of a theoretical framework that allows the modeling of an announced switch of the monetary regime. In our experiment, the monetary authority announces stabilization of the nominal exchange rate after the announced number of periods. We analyze the...
Persistent link: https://www.econbiz.de/10013095584
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Global Engagement and Returns Volatility
Girma, Sourafel - 2016
This paper uses high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010 to show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two margins of global engagement we consider, namely,...
Persistent link: https://www.econbiz.de/10013000911
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The effect of exchange rate volatility on international trade and foreign direct investment (FDI) in developing countries along "one belt and one road"
Latief, Rashid; Lefen, Lin - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-22
(IFS) (a database developed by the International Monetary Fund), and World Development Indicators (WDI) (a database … developed by the World Bank). We applied Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) and threshold … negatively in OBOR-related countries, which correlates with the economic theory arguing that exchange rate volatility may hurt …
Persistent link: https://www.econbiz.de/10011964012
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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...
Persistent link: https://www.econbiz.de/10012158166