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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - In: Economic modelling 114 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013367523
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Forecasting international equity market volatility : a new approach
Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
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Gambling Preferences, Options Markets, and Volatility
Blau, Benjamin M. - 2016
Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble...
Persistent link: https://www.econbiz.de/10013007407
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Gambling Cultures and Stock Price Volatility : A Cross-Country Analysis
Blau, Benjamin M. - 2015
In this study, we test the hypothesis that favorable attitudes towards gambling in a particular country will increase … gambling losses per adult, and legalized online gambling have less stable stock prices. These results are robust to different … causal inferences, we use the adoption of legal online gambling in France as a natural experiment and test whether the …
Persistent link: https://www.econbiz.de/10013009465
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[Rezension von: Mallios, William S., The analysis of sports forecasting: modeling parallels between sports gambling and financial markets]
Malkiel, Burton G. - In: Journal of economic literature 39 (2001) 3, pp. 945-946
Persistent link: https://www.econbiz.de/10001612432
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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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Gambling, Risk Appetite and Asset Pricing
Carvalho, Carlos - 2018
A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains cross-sectional differences in...
Persistent link: https://www.econbiz.de/10012931926
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Leverage constraints or preference for lottery : what explains the low-risk effect in India?
Peswani, Shilpa; Joshipura, Mayank - In: Investment management and financial innovations 18 (2021) 2, pp. 48-63
Persistent link: https://www.econbiz.de/10012698118
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Stocks with extreme past returns : lotteries or insurance?
Barinov, Alexander - In: Journal of financial economics 129 (2018) 3, pp. 458-478
Persistent link: https://www.econbiz.de/10011982283