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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

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

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

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

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

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

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

Are International Equity Market Returns Predictable?

Chun, Sungju - 2009

The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...

Persistent link: https://www.econbiz.de/10013155218

Volatility in Gold Price Returns : An Investigation from International Market

Ahmad, Nawaz - 2013

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has been collected on daily basis for the tenure of a couple of years starting from 1st January 2009 to 31st September 2011. The models used to run the data are: standard deviation...

Persistent link: https://www.econbiz.de/10013076098