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Short-Term Stock Price Reversals May Be Reversed
Kudryavtsev, Andrey - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 129-146
making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock's upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …
Persistent link: https://www.econbiz.de/10011310234
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Sovereign credit ratings, emerging market risk and financial market volatility
Reisen, Helmut; von Maltzan, Julia - In: Intereconomics 33 (1998) 2, pp. 73-82
Persistent link: https://www.econbiz.de/10010270901
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Restatement of the I-O coefficient stability problem
Dobrescu, Emilian - In: Journal of Economic Structures 2 (2013), pp. 1-67
The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients is...
Persistent link: https://www.econbiz.de/10011551997
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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
observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …
Persistent link: https://www.econbiz.de/10011938300
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...
Persistent link: https://www.econbiz.de/10010317124
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Interest Rate Volatility of the Federal Funds Rate: Response of the Bank Indonesia and its Impact on the Indonesian Economic Stability
Mukhlis, Imam; Hidayah, Isnawati; Retnasih, Nora Ria - In: Journal of Central Banking Theory and Practice 9 (2020) 1, pp. 111-133
This research aims to analyse the response of the Bank Indonesia (BI rate) to the Indonesian economic stability. The data analysis is stationarity test, model stability test, lag determination, Structural Vector Autoregression (SVAR), Impulse Response Function (IRF), and Variance Decomposition...
Persistent link: https://www.econbiz.de/10012217933
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Measuring announcement effect of refinancing: Evidence from Chinese Public Utility listed companies
Zhang, Ziyi - In: International Journal of Management, Economics and … 9 (2020) 4, pp. 271-285
Persistent link: https://www.econbiz.de/10012417875
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Implicit interpretation of Indonesian export bans on LME nickel prices: Evidence from the announcement effect
Lim, Byungkwon; Kim, Hyeon Sook; Park, Jaehwan - In: Risks 9 (2021) 5, pp. 1-7
Forecasting of LME (London Metal Exchange) nickel prices remains an interesting topic but lacks consensus. This study aims to fill knowledge gaps by demonstrating the announcement effect of export bans by the Indonesian government. This article focuses on Indonesia because Indonesia produces...
Persistent link: https://www.econbiz.de/10013200761
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Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models
Hermsen, Oliver; Witte, Björn-Christopher; Westerhoff, … - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-7, pp. 1-26
information is released with a delay, while the average price volatility is virtually unaffected by such regulations …
Persistent link: https://www.econbiz.de/10010299957
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Reservations on the use of event studies to evaluate economic policy
Beigi, Maryam H. A.; Budzinski, Oliver - In: Intereconomics 48 (2013) 3, pp. 174-179
Event studies represent an increasingly popular method to evaluate the welfare effects of economic policy decisions. The basic idea is that stock market reactions to the announcement of policy decisions contain superior information about the welfare effects of these decisions. This paper...
Persistent link: https://www.econbiz.de/10011307032