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An Analysis of Dynamic Risk in the Greater China Equity Markets
Johansson, Anders C. - 2009
the two mainland China market betas are covariance stationary, the Hong Kong and Taiwan betas are not …This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and … systematic risk for these two markets seem to be directly related to policy shifts. The Hong Kong and Taiwan markets are more …
Persistent link: https://www.econbiz.de/10013159807
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Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets
Chen, Jing - 2009
markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co … situation changes and the segments appear to be significantly co-integrated. MV-GARCH results suggest that the conditional …
Persistent link: https://www.econbiz.de/10013153295
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Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets
Buckland, Roger - 2017
markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co … situation changes and the segments appear to be significantly co-integrated. MV-GARCH results suggest that the conditional …
Persistent link: https://www.econbiz.de/10012976754
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Efficiency and the Risk Premium in the Forward Exchange Market.
Merino, S.A. - Geneva School of Economics and Management, Université … - 1997
This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.
Persistent link: https://www.econbiz.de/10005207737
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Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble.
Medeiros, Otavio Ribeiro de; Leone, Vitor - Nottingham Trent University, Nottingham Business … - 2012
Based on a method developed by Leybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the NASDAQ stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...
Persistent link: https://www.econbiz.de/10010544329
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Efficiency and the Risk Premium in the Forward Exchange Market.
Merino, S.A. - Institut d'Economie et Econométrie, Université de Genève - 1997
This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.
Persistent link: https://www.econbiz.de/10010584303
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Signalling the Dotcom bubble: A multiple changes in persistence approach
Leone, Vitor; Medeiros, Otavio Ribeiro de - In: The Quarterly Review of Economics and Finance 55 (2015) C, pp. 77-86
This study investigates multiple changes in persistence in the dividend–price and price–earnings ratio of the NASDAQ Composite Index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne, Kim,...
Persistent link: https://www.econbiz.de/10011193785
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No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges
Olbryś, Joanna - In: Comparative Economic Research. Central and Eastern Europe 23 (2020) 3, pp. 91-109
estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed toexplore the …
Persistent link: https://www.econbiz.de/10013204642
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No commonality in liquidity on small emerging markets? : evidence from the Central and Eastern European stock exchanges
Olbryś, Joanna - In: Comparative economic research : Central and Eastern Europe 23 (2020) 3, pp. 91-109
estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed toexplore the …
Persistent link: https://www.econbiz.de/10012419201
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Decomposing European Bond and Equity Volatility
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2007
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analyzed simultaneously. A new model belonging to the "volatility-spillover" class is suggested: The...
Persistent link: https://www.econbiz.de/10005209092