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Causality between arbitrage and liquidity in platinum futures
Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs' trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world's largest platinum futures markets on exchanges in New York and Tokyo …
Persistent link: https://www.econbiz.de/10014332749
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Does gold act as a hedge and a safe haven for China's stock market?
Chen, Ke; Wang, Meng - In: International Journal of Financial Studies 5 (2017) 3, pp. 1-18
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our...
Persistent link: https://www.econbiz.de/10011996051
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Performance of exchange traded funds during the Brexit referendum: An event study
Alkhatib, Akram; Harasheh, Murad - In: International Journal of Financial Studies 6 (2018) 3, pp. 1-12
In today's interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of...
Persistent link: https://www.econbiz.de/10011996132
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An investigation into factors that determine the growth rate in the Islamic banking and finance
Nawaz, Huma - In: Future Business Journal 5 (2019) 1, pp. 1-15
The purpose of this study is to determine the impact of products and services of Islamic finance in Pakistan. This study has involved an empirical analysis of the environmental factors of growth and its impact on the growth of Islamic Financial Institutions. To investigate the factors of growth,...
Persistent link: https://www.econbiz.de/10012664308
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International information spillovers and asymmetric volatility in South Asian stock markets
Gajurel, Dinesh; Chawla, Akhila - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-18
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor...
Persistent link: https://www.econbiz.de/10014332670
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Investigation of the Greek stock exchange volatility and the impact of foreign markets from 2007 to 2012
Sariannidis, Nikolaos; Papadopoulou, Polyxeni; … - In: International Journal of Business and Economic Sciences … 8 (2015) 2, pp. 55-68
Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the...
Persistent link: https://www.econbiz.de/10011516729
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The laws of motion of the broker call rate in the United States
Garivaltis, Alex - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-23
) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in … the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the …
Persistent link: https://www.econbiz.de/10013200234
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No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks 8 (2020) 2, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …
Persistent link: https://www.econbiz.de/10013200599
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Statistical properties of rates of return on shares listed on the German, French, and Polish markets: A comparative study
Dębski, Wiesław; Feder-Sempach, Ewa; Wójcik, Szymon - In: Contemporary Economics 12 (2018) 1, pp. 5-16
The financial market and its instruments are subject to numerous studies all over the world. Special attention is duly earned by the multifaceted research and analysis of the behavior of rates of return on shares, as well as shares' other statistical properties including the beta parameter....
Persistent link: https://www.econbiz.de/10011995323
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Multi-factor asset-pricing models under Markov regime switches: Evidence from the Chinese stock market
Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011996104