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Asymmetry and Spillover Effects in the North American Equity Markets
Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52
In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...
Persistent link: https://www.econbiz.de/10010295295
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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
regression, Box-Jenkins methodologies have been applied initially then GARCH-type models are used to counter the problems of auto-correlation …
Persistent link: https://www.econbiz.de/10011938300
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Analysis of sectors on Nigeria stock market: Evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of Contemporary Economic and Business Issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors' returns. Furthermore …
Persistent link: https://www.econbiz.de/10011984744
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Auf dem Weg zu einer Weltbörse? Börsenfusion
Zimmermann, Jochen - In: Wirtschaftsdienst 91 (2011) 3, pp. 153-154
Persistent link: https://www.econbiz.de/10010290235
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Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021) 1, pp. 1-9
assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By … analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004-2007); crisis …
Persistent link: https://www.econbiz.de/10012664357
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Was bewegt den DAX?
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - In: ifo Schnelldienst 66 (2013) 23, pp. 32-36
, wirken sich in rund zwei Drittel der Fälle sofort auf den deutschen Aktienmarkt aus. Vor allem Daten zu Investitionen, Zahlen …
Persistent link: https://www.econbiz.de/10011693574
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The information content in a volatility index for Spain
Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...
Persistent link: https://www.econbiz.de/10010333080
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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 09 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10011695915
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Have bull and bear markets changed over time? Empirical evidence from the US-stock market
Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171
This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...
Persistent link: https://www.econbiz.de/10010286823
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Langfristige Aktienmarkttrends: Ein Ausblick
Zimmermann, Guido - In: Wirtschaftsdienst 83 (2003) 5, pp. 341-348
Nach dem Ende des Börsenbooms macht sich auf dem Aktienmarkt eine große Unsicherheit breit. Von welchen Determinanten … hängt die langfristige Entwicklung der Aktienkurse ab? Mit welchen Renditen ist zukünftig am Aktienmarkt zu rechnen? …
Persistent link: https://www.econbiz.de/10010302843