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Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
Srinivasan, P.; Ibrahim, P. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 65-80
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … Bivariate ECM-EGARCH(1,1) model. The empirical result confirms that the spot market of Gold plays a dominant role and serves as … spot market to futures market and the spot market of gold have the capability to expose the all new information through the …
Persistent link: https://www.econbiz.de/10011310237
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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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Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295321
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Structural breaks, parameter stability and energy demand modeling in Nigeria
Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 129-144
conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the …
Persistent link: https://www.econbiz.de/10010289392
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Effects of exports instability on economic growth in SAARC region countries
Rashid, Farhat; Ullah, Sami; Bedi-uz-Zaman Ullah, Sami - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 97-120
(Pakistan, India, Sri-Lanka and Nepal) by using neoclassical aggregate production with export and export instability as the … additional variables. The Augmented Dickey Fuller (ADF) and Johansson Cointegration tests are used to test stationarity for all … variables and cointegration respectively. The results of these tests demonstrate that all variables are non-stationary at levels …
Persistent link: https://www.econbiz.de/10011938302
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Spillovers between cryptocurrencies, gold and stock markets: Implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of Economics, Finance and Administrative Science 29 (2024) 57, pp. 21-41
investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In … and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for …-day moving window spillover index estimation. Findings Generally, results show evidence of significant spillovers between …
Persistent link: https://www.econbiz.de/10014516347
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Effects of the 2008 financial crisis on the linkages among the oil, gold, and platinum markets
Aruga, Kentaka; Kannan, Sudha - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-13
To find out if gold remains to be unlinked with the crude oil market after the 2008 financial crisis, we investigated … how long-run price linkages and price causalities among crude oil and gold markets changed before and after the crisis. To … have a good reference, we also tested the same issue for the oil-platinum relationship. Using the cointegration methods, we …
Persistent link: https://www.econbiz.de/10014001365
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...
Persistent link: https://www.econbiz.de/10013201335
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Time-varying price-volume relationship and adaptive market efficiency: A survey of the empirical literature
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18
This paper conducts a review of the literature on the price-volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....
Persistent link: https://www.econbiz.de/10012611093
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The dynamics of foreign exchange derivative use in China
Sun, Yidi; Morley, Bruce - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18
The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by … Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature … probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms …
Persistent link: https://www.econbiz.de/10013200975