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Crosby, Mark - In: Australian Journal of Management 30 (2005) 1, pp. 145-158

There are two features of exchange rate behaviour that are difficult to explain with conventional theoretical explanations. First, exchange rates are very volatile relative to fundamentals, and, second, departures from â€˜fair valueâ€™ are very persistent. In this paper the implications...

Persistent link: https://www.econbiz.de/10011135772

Global Market Conditions and Systemic Risk

González-Hermosillo, Brenda; Hesse, Heiko - In: Journal of Emerging Market Finance 10 (2011) 2, pp. 227-252

interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques …

Persistent link: https://www.econbiz.de/10011137861

An Examination of the Effects of Corruption on Financial Market Volatility

Zhang, Aimao - In: Journal of Emerging Market Finance 11 (2012) 3, pp. 301-322

Corruption has a profound impact on many aspects of a society, such as, productivity growth, foreign direct investment or income equality. We propose that corruption also has an impact on stability of financial markets. In this study, we demonstrate a strong correlation between corruption and...

Persistent link: https://www.econbiz.de/10011137892

Mispricing, Volume, Volatility and Open Interest

Vipul - In: Journal of Emerging Market Finance 7 (2008) 3, pp. 263-292

Interdependence of the mispricing, volatility, volume and open interest of stock futures and the volatility and volume … that persists for one day but is not explained by other variables. An increase in the volatility of futures is generally … followed by an increase in the volatility of the underlying. The volatility and volume of futures and the underlying exhibit …

Persistent link: https://www.econbiz.de/10011137899

The Long-Run Performance of Graded IPOs in the Indian Capital Market

Dhamija, Sanjay; Arora, Ravinder Kumar - In: Global Business Review 15 (2014) 2, pp. 317-337

Initial public offering (IPO) grading was introduced in India as an additional tool to help the retail investors in making the investment decisions. The primary objective of this article is to establish the relation between the assigned grade and the long-term performance of the IPO.With a few...

Persistent link: https://www.econbiz.de/10011139730

Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece

González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each otherâ€™s volatility while Germany also plays an important role. It is found that extreme bad news led to …

Persistent link: https://www.econbiz.de/10011142190

Herding behaviour and volatility in the Athens Stock Exchange

Messis, Petros; Zapranis, Achilleas - In: Journal of Risk Finance 15 (2014), pp. 572-590

-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed … Salmon (2004). Four volatility measures are employed. Findings -The findings depict the presence of herding over two … confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or …

Persistent link: https://www.econbiz.de/10011082356