Showing 1 - 10 of 3,752
This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate). For this purpose, we assess the performance of two long memory Value-at-Risk...
Persistent link: https://www.econbiz.de/10012942623
Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...
Persistent link: https://www.econbiz.de/10011502367
This study investigated the directional linkages among net foreign portfolio investment volatility, financial deepening and capital market performance in low-income Southern African Development Community (SADC) countries employing a dynamic panel vector error correction model (P-VECM) on...
Persistent link: https://www.econbiz.de/10012295146
Persistent link: https://www.econbiz.de/10011980836
This study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment and the country index crash risk. The moderating variable, net foreign portfolio investment, is introduced. While previous crash risk studies typically focus on individual firms,...
Persistent link: https://www.econbiz.de/10015394264
The aim of this paper is to construct theoretical models which help to shed light on the recent criticisms of volatile investment flows. We do not make any empirical attempt to establish the existence or gauge the importance of the adverse effects of volatile investment flows nor do we make any...
Persistent link: https://www.econbiz.de/10005661544
In this paper we propose a framework for predicting market returns and volatility using changes in the country's political risk. We identify the appropriate lag to calculate changes over, and show how the changes should be included in mean and volatility equations. The appropriate level of...
Persistent link: https://www.econbiz.de/10013007275
This paper investigates the impact of the opening up of the Taiwan futures market to foreign investors on the price discovery function and volatility of the local futures market. The additional market factor effects are controlled and the asymmetric response behavior is studied. Major results...
Persistent link: https://www.econbiz.de/10013013565
This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression estimates of Asymmetric Dynamic Conditional Correlation Model,...
Persistent link: https://www.econbiz.de/10013152875
Purpose: To dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines.Design/Methodology/Approach: Using a parsimonious SVARX-GARCH model and unique daily equity flow data this research models the relationship between net equity flows,...
Persistent link: https://www.econbiz.de/10013067489