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The effects of macroeconomic factors on stock returns: Istanbul Stock Market
Rjoub, Husam; Türsoy, Turgut; Günsel, Nil - In: Studies in Economics and Finance 26 (2009) 1, pp. 36-45
Purpose – The purpose of this paper is to investigate the performance of the arbitrage pricing theory (APT) in the … suggest. Research limitations/implications – In this paper, the authors face a problem that was no corporate bond in Turkey …
Persistent link: https://www.econbiz.de/10015013587
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for … argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as …
Persistent link: https://www.econbiz.de/10009475070
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Spain; Financial Sector Assessment Program: Detailed Assessment of the CPSS-IOSCO Recommendations for the Securities Settlement Systems
International Monetary Fund (IMF); International … - 2006
This report describes the assessment of the securities clearance and settlement system in Spain, based on the Committee on Payment and Settlement Systems (CPSS)-International Organization of Securities Commissions’ (IOSCO) Recommendations for Securities Settlement Systems. It is performed...
Persistent link: https://www.econbiz.de/10011244654
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A Framework for Financial Market Development
Chami, Ralph; Sharma, Sunil; Fullenkamp, Connel - International Monetary Fund (IMF) - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10008528687
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United Kingdom; Observance by LCH CLEARNET LIMITED of the CPSS-IOSCO Recommendations for Central Counterparties Detailed Assessment of Observance
International Monetary Fund (IMF); International … - 2011
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011242698
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Oil price shocks and stock markets in the U.S. and 13 European countries
Park, Jungwook; Korea (South). Ministry of Knowledge Economy - University of Missouri--Columbia; University of Western … - 2008
Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an oil exporter shows a statistically significantly positive response of real stock returns to...
Persistent link: https://www.econbiz.de/10009482278
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Filtered extreme-value theory for value-at-risk estimation: evidence from Turkey
Ozun, Alper; Cifter, Atilla; Yilmazer, Sait - In: Journal of Risk Finance 11 (2010) February, pp. 164-179
Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...
Persistent link: https://www.econbiz.de/10010610651
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Filtered extreme-value theory for value-at-risk estimation: evidence from Turkey
Ozun, Alper; Cifter, Atilla; Yilmazer, Sait - In: Journal of Risk Finance 11 (2010) February, pp. 164-179
Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...
Persistent link: https://www.econbiz.de/10010717490
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Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey
Ozun, Alper; Cifter, Atilla; Yılmazer, Sait - In: The Journal of Risk Finance 11 (2010) 2, pp. 164-179
Purpose – The purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...
Persistent link: https://www.econbiz.de/10014901533
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Intellectual capital performance of quoted banks on the Istanbul stock exchange market
Yalama, Abdullah; Coskun, Metin - In: Journal of Intellectual Capital 8 (2007) 2, pp. 256-271
the Istanbul Stock Exchange Market (ISE) in Turkey for the period 1995‐2004 and test the effect of the intellectual …
Persistent link: https://www.econbiz.de/10014875441