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On the Relationship Between Asian Credit Default Swap and Equity Markets
Chan, Kam C.; Fung, Hung‐Gay; Zhang, Gaiyan - In: Journal of Asia Business Studies 4 (2009) 1, pp. 3-12
When extended to sovereign issuers, the Merton‐type structural model suggests a negative relationship between sovereign credit default swap (CDS) spreads and stock prices. In practice, capital structure arbitrage that exploits such relationships should foster the integration of CDS and the...
Persistent link: https://www.econbiz.de/10014838272
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Estimation of Total Energy Consumption in Jordan 1980‐1999: Evidence From Cointegration and Stock
Abdul Jabbar Saed, Afaf - In: Journal of Economic and Administrative Sciences 20 (2004) 1, pp. 71-82
The purpose of this study is to estimate the long‐run elasticities of the demand (consumption) for total energy in Jordan for the 1980‐1999 period. Assuming a simple linear relationship, in order to estimates the elasticities of a simple long‐run demand equation, we then employ a procedure...
Persistent link: https://www.econbiz.de/10014857496
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Concessional foreign capital inflows and domestic savings across countries
Hasan, Mohammad S. - In: Journal of Economic Studies 29 (2002) 6, pp. 388-422
Using the notions of unit root, cointegration theory and Granger‐Akaike’s synthesis of modelling strategy, this paper … examines the nature of stationarities, cointegration properties and Granger causal relationship between domestic savings and … majority of countries, with the exceptions of Bolivia and Korea. The cointegration test results based on the Johansen and …
Persistent link: https://www.econbiz.de/10014862991
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Effects of portfolio diversification on property investment company stock prices: 1983‐1994
Foo Sing, Tien; Patel, Kanak - In: Journal of Property Investment & Finance 19 (2001) 4, pp. 390-411
securitized property companies are tested using the bivariate and the Johansen’s multivariate cointegration methodologies. The …
Persistent link: https://www.econbiz.de/10014898409