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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
test the weak form efficiency of select South Asian capital markets (India, Sri Lanka, Pakistan, Bangladesh, and Mauritius …
Persistent link: https://www.econbiz.de/10011938297
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Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios
Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82
direct investment in Pakistan have been investigated using quarterly data over the period of 1976Q1 to 2006Q4. Stepwise …-correlation and ARCH effect and to model the conditional variance of FDI. It is found that foreign direct investment in Pakistan … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and …
Persistent link: https://www.econbiz.de/10011938300
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The efficiency of the Polish zloty exchange rate market: The uncovered interest parity and fractal analysis approaches
Czech, Katarzyna; Pietrych, Łukasz - In: Risks 9 (2021) 8, pp. 1-17
The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the...
Persistent link: https://www.econbiz.de/10013200806
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Volatility Asset Pricing Model as an Alternative Approach?
Kuklik, Robert G.; Vacek, Vladislav - In: European Financial and Accounting Journal 8 (2013) 1, pp. 39-66
inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …
Persistent link: https://www.econbiz.de/10010512915
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Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model
Demary, Markus - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-8, pp. 1-44
investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …
Persistent link: https://www.econbiz.de/10010299955
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Effectiveness of exchange rate in Pakistan: Causality analysis
Khan, Rana Ejaz Ali; Sattar, Rashid; Rehman, Hafeez Ur - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 83-96
The study analyzed the effectiveness of exchange rate on macroeconomic variables of Pakistan. The precise objective of …
Persistent link: https://www.econbiz.de/10011938301
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Determinants of corporate cash holdings in tranquil and turbulent period: Evidence from an emerging economy
Jebran, Khalil; Iqbal, Amjad; Bhat, Kalim Ullah; Khan, … - In: Financial Innovation 5 (2019) 1, pp. 1-12
Using a sample of 280 firms listed on the Pakistan Stock Exchange, we empirically investigate factors that determine …
Persistent link: https://www.econbiz.de/10012602800
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Common currency and intra-regional trade in the Central African Monetary Community (CEMAC)
Kangami, Divine Ngenyeh; Akinkugbe, Oluyele F. - In: Journal of African Trade 8 (2021) 1, pp. 13-22
We applied the threshold autoregressive and difference-in-differences techniques to examine the effects of adopting a common currency on bilateral trade flows between member states of the Central African Economic and Monetary Community (CEMAC) customs union, over the period from 1980 to 2013. We...
Persistent link: https://www.econbiz.de/10013470704
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The effect of exchange rate volatility on economic growth: Case of the CEE countries
Morina, Fatbardha; Hysa, Eglantina; Ergün, Uğur; … - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-13
estimation for panel data reveal that the volatility of the exchange rate has a significant negative effect on real economic …. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of … this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and …
Persistent link: https://www.econbiz.de/10012611395
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A directional-change event approach for studying financial time series
Aloud, Monira; Tsang, Edward; Olsen, Richard; Dupuis, … - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-36, pp. 1-17
Financial markets witness high levels of activity at certain times but remain calm at others. This makes the flow of physical time discontinuous. Therefore, to use physical time scales for studying financial time series runs the risk of missing important activities. An alternative approach is to...
Persistent link: https://www.econbiz.de/10010310507