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Day-of-the-week anomaly: An illusion or a reality? Evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN Journal of Applied Statistics 07 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011961644
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Real-financial connectedness in the Swiss economy
Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-20
We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index...
Persistent link: https://www.econbiz.de/10013205785
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Causality between economic policy uncertainty and real housing returns in emerging economies: A cross-sample validation approach
Aye, Goodness C. - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-16
This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...
Persistent link: https://www.econbiz.de/10011988855
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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
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen-Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-17
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …
Persistent link: https://www.econbiz.de/10011996114
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 26-62
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...
Persistent link: https://www.econbiz.de/10011843222
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Restricción financiera y crecimiento económico en México
Landa Díaz, Heri Oscar - In: Investigación Económica 78 (2019) 309, pp. 27-57
The aim of this paper is to examine the impact of financial development on economic growth. The contribution of both capital and credit market movements on the dynamics of Mexico's gross domestic product (GDP) over the period 1996-2017 is empirically tested using an Autoregressive Distributive...
Persistent link: https://www.econbiz.de/10012217604
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Macroeconomic determinants of stock market fluctuations: The case of BIST-100
Demir, Caner - In: Economies 7 (2019) 1, pp. 1-14
The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, the largest economic crises...
Persistent link: https://www.econbiz.de/10013199521
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Time varying spillovers between the online search volume and stock returns: Case of CESEE markets
Škrinjarić, Tihana - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-30
existing research consists of estimating the aforementioned relationship between return, volatility and the search volume …
Persistent link: https://www.econbiz.de/10013200237
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Volatility spillovers among cryptocurrencies
Smales, Lee A. - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-12
-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …
Persistent link: https://www.econbiz.de/10013201177