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How Do Local Markets Respond to Global Risk Factor Differently in Various Market Regimes? A Study of Country Exchange Traded Funds

Yuan, Jun - 2012

This paper explores how the returns of country exchange traded funds (ETFs) respond to global risk factors in different … model (RS) with six global risk factors and identify three market regimes - bull, transitory and bear markets. The empirical … results show that both the returns of country ETFs and their sensitivities to the risk factors are highly regime dependent …

Persistent link: https://www.econbiz.de/10013114076

Estimating and Testing Long-Run Risk Models : International Evidence

Fulop, Andras; Li, Junye; Liu, Hening; Yan, Cheng - 2021

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model …

Persistent link: https://www.econbiz.de/10013225797

Defending global oil price security : based on the perspective of uncertainty risk

Song, Yu; Chen, Bo; Wang, Xin-Yi; Wang, Ping-Ping - In: Energy strategy reviews 41 (2022), pp. 1-13

the impact of uncertainty risk on oil prices. Economic policy uncertainty and geopolitical risk were used as proxy … variables for economic and political uncertainty risk. The study results indicate that oil price is driven jointly by two … uncertain risk factors, where the impact of economic policy uncertainty is significantly greater than that of geopolitical risks …

Persistent link: https://www.econbiz.de/10014497145

Should gold be held under global economic policy uncertainty?

Qin, Meng; Su, Chi-Wei; Xiao, Yi-Dong; Zhang, Shuai - In: Journal of business economics and management 21 (2020) 3, pp. 725-742

This paper investigates the ability of gold to hedge worldwide risks from the perspective of global economic policy uncertainty (GEPU). By applying the full- and sub-sample rolling-window bootstrap causality tests to analyze the dynamic interaction between GEPU and gold price (GP). It can be...

Persistent link: https://www.econbiz.de/10012270374

The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty : evidence from oil-importing and oil-exporting countries

Khalfaoui, Rabeh; Solarin Sakiru Adebola; Al-Qadasi, … - In: Financial modeling and risk management of energy and …, (pp. 105-143). 2022

Persistent link: https://www.econbiz.de/10013349930

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

The Macroeconomic Determinants of Banking Efficiency : An Empirical Analysis of South Africa Against the Rest of the World

Basson, Nicholas - 2011

The efficiency of a nation's banking industry is a critical factor in the quest to realize economic growth and prosperity for its citizens. This study identifies a host of macroeconomic factors which have been shown to have a strong causal link with the efficient operation of a given banking...

Persistent link: https://www.econbiz.de/10013123936

Global Factor Premiums

Baltussen, Guido - 2020

We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...

Persistent link: https://www.econbiz.de/10012850289

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10013030485