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Volatility and Kurtosis of daily stock returns at MSE

Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS Journal of Economics 6 (2015) 2, pp. 209-221

we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the …

Persistent link: https://www.econbiz.de/10011533273

Volatility and Kurtosis of daily stock returns at MSE

Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221

we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the …

Persistent link: https://www.econbiz.de/10011456336

How integrated are corporate bond and stock markets?

Sandulescu, Mirela - 2020

I study the degree of market integration between U.S. corporate bonds and stocks of their issuers. I document that … suggest that stocks co-move more strongly with stock-like corporate bonds, especially those of small, growth firms, with lower … when the risk-bearing capacity of financial intermediaries is more impaired …

Persistent link: https://www.econbiz.de/10012181292

Volatility spillovers and the role of leading financial centres

Cifarelli, Giulio; Paladino, Giovanna - In: BNL Quarterly Review 54 (2001) 216, pp. 37-71

This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index. The VAR methodology--duly adjusted in order to account for differences in...

Persistent link: https://www.econbiz.de/10010854330

Stocks and shocks

Scholtens, Bert; Steensma, Marélie - In: BNL Quarterly Review 55 (2002) 223, pp. 347-361

How do stock markets respond to extreme events? This paper analyzes the reaction ofstock markets in four industrialized economies (Italy, the Netherlands, Sweden, the US) to ten major international crises. We employ an event study to investigate whether the stock exchanges react differently with...

Persistent link: https://www.econbiz.de/10010854345

The relationship between stock market parameters and interbank lending market: an empirical evidence

Yandiev, Magomet; Pakhalov, Alexander - Faculty of Economics, M. V. Lomonosov Moscow State … - 2013

The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.

Persistent link: https://www.econbiz.de/10010859287

Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007

London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to …

Persistent link: https://www.econbiz.de/10010905293

Dissemination of Stock Recommendations and Small Investors: Who Benefits?

Yazici, Bilgehan; Muradoglu, Gulnur - In: Multinational Finance Journal 6 (2002) 1, pp. 29-42

returns. On the contrary, it provides a valuable deal to its ‘preferred investors’, if any, in selecting the stocks. If one …

Persistent link: https://www.econbiz.de/10010938717

Stochastic modeling of financing longevity risk in pension insurance

Ronkainen, Vesa - Suomen Pankki - 2012

model to generate stochastic pension cash-flows, we are then able to analyse the financing of longevity risk in pension … insurance and the resulting risk management issues. This is accomplished via three case studies. Two of these concentrate on the … customer and long-term points of view. <p> Realistic statistical long-term risk measurement is the key theme of this work, and …

Persistent link: https://www.econbiz.de/10011019137

The Information Contained in Stock Exchange Seat Prices

Keim, D.B.; Madhavan, A. - Rodney L. White Center for Financial Research, Wharton … - 1998

Exchange seats are capital assets that confer access to the trading floor. On the New York Stock Exchange (NYSE), seta are bought and sold in a public auction market. As such, their prices reflect expectations about future activity and returns for the stock market as a whole. For this reason,...

Persistent link: https://www.econbiz.de/10005245350