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The Impact of Stock Market Liberalization on Emerging Equity Market Volatility
Dhir, Pawan - 2007
This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …
Persistent link: https://www.econbiz.de/10009429052
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International business : competing in the global marketplace
Hill, Charles W. L. - 2007 - 6. ed., internat. ed.
Persistent link: https://www.econbiz.de/10004858498
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Macro-financial interactions in a changing world
Gerba, Eddie; Leiva León, Danilo - 2020
En este trabajo se estudia la evolución del grado de interconexiones macrofinancieras, tanto dentro de las economías de Estados Unidos y de la zona del euro como entre ellas. Para esto, el estudio se basa en modelos de factores dinámicos con parámetros cambiantes en el tiempo, los cuales se...
Persistent link: https://www.econbiz.de/10012523801
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Endogenous time variation in vector autoregressions
Leiva León, Danilo; Uzeda, Luis - 2021
Este artículo introduce una nueva clase de modelos de vectores autorregresivos con parámetros cambiantes en el tiempo (TVP-VAR). En los modelos propuestos, se permite que las innovaciones estructurales puedan influir en la dinámica de sus coeficientes. También se proporciona un algoritmo de...
Persistent link: https://www.econbiz.de/10012525782
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Measuring interconnectedness across institutions and sectors
Gálvez, Julio
, and financial and non-financial sectors in Spain. To this end, the study draws on the connectedness methodology proposed …
Persistent link: https://www.econbiz.de/10012697222
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Measuring interconnectedness across institutions and sectors
Gálvez, Julio
financial and non-financial sectors in Spain. To this end, the study draws on the connectedness methodology proposed by Diebold …
Persistent link: https://www.econbiz.de/10013210155
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Un índice de volatilidad para el sector bancario español
González Pérez, María Teresa
Artículo de revista ; En este artículo se resume la metodología de estimación propuesta en Gonzalez-Perez (2021) para estimar un índice de volatilidad de una cartera de activos cuando no se emiten opciones sobre ella. Esta metodología permite construir índices de volatilidad para carteras...
Persistent link: https://www.econbiz.de/10013278808
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A volatility index for the Spanish banking sector
González Pérez, María Teresa
a volatility index for an asset portfolio on which no options have been issued. The methodology allows volatility … methodology and a benchmark portfolio representing the Spanish stock market (IBEX 35) are used to estimate a volatility index for … framework of uncertainty desired. A comparison between this sectoral volatility index and that of the Spanish stock market …
Persistent link: https://www.econbiz.de/10013278813
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Stock Market Pressure on Inventory Investment and Sales Reporting for Publicly Traded Firms
Lai, Guoming; Debo, Laurens; Nan, Lin - 2008
Operations of publicly traded firms differ from privately owned firms because public firms' managers make decisions based on their own interests. In this paper, we study how stock market pressure may influence a manager's inventory and operational management. Our model is a straightforward...
Persistent link: https://www.econbiz.de/10009441139
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The Bombay stock exchange: seasonalities and investment opportunities
Ignatius, Roger - 1992
This paper examines the relationship of stock return patterns on the Bombay Stock Exchange (BSE) with those of the New York Stock Exchange (NYSE). It also examines investment opportunities for international investors. The data include daily closing values of the BSE and SSP 500 Indexes for the...
Persistent link: https://www.econbiz.de/10009441629