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Short-run deviations and optimal hedge ratio: evidence from stock futures

Choudhry, Taufiq - In: Journal of Multinational Financial Management 13 (2003) 2, pp. 171-192

Persistent link: https://www.econbiz.de/10005183857

The Monetary Model of Exchange Rates: Evidence from the Canadian Float of the 1950s

Choudhry, Taufiq; Lawler, Phillip - In: Journal of Macroeconomics 19 (1997) 2, pp. 349-362

Persistent link: https://www.econbiz.de/10005205906

Stochastic Trends in Stock Prices: Evidence from Latin American Markets

Choudhry, Taufiq - In: Journal of Macroeconomics 19 (1997) 2, pp. 285-304

Persistent link: https://www.econbiz.de/10005208118

The long memory of time‐varying beta: examination of three emerging Asian stock markets

Choudhry, Taufiq - In: Managerial Finance 27 (2001) 1/2, pp. 5-23

Reviews previous research on the nature of beta and investigates the stochastic structure of time‐varying beta in Hong Kong, Malaysia and Singapore using the bi‐variate GARCH‐in‐mean model and fractional tests. Develops mathematical models and applies them to 1989‐1998 daily data from...

Persistent link: https://www.econbiz.de/10014939584

Momentum phenomenon in the Chinese Class A and B share markets

Choudhry, Taufiq; Wu, Yuan - In: Review of Behavioral Finance 7 (2015) 2, pp. 116-133

Purpose – The purpose of this paper is to investigate the momentum phenomenon in two market segments of the Chinese stock market – the Class A share market and Class B share market over time period spanning from January 1996 to December 2010. Design/methodology/approach – The authors...

Persistent link: https://www.econbiz.de/10014990147

Day of the week effect in emerging Asian stock markets: evidence from the GARCH model

Choudhry, Taufiq - In: Applied Financial Economics 10 (2000) 3, pp. 235-242

This paper investigates the day of the week effect on seven emerging Asian stock markets returns and conditional variance (volatility). The empirical research was conducted using the GARCH model and daily returns from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand...

Persistent link: https://www.econbiz.de/10009200863

Do Stock Returns Hedge against High and Low Inflation? Evidence from Brazilian Companies

Choudhry, Taufiq; Pimentel, Rene Coppe - In: The Review of Finance and Banking 02 (2010) 2, pp. 061-076

This paper investigates the relationship between stock returns and inflation using monthly data from ten Brazilian firms and the general Brazilian stock market. The period under investigation, 1986-2008, includes periods of unstable high inflation (1986-1994) and stable low inflation...

Persistent link: https://www.econbiz.de/10008783749

DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD

CHOUDHRY, TAUFIQ - In: Manchester School 78 (2010) 4, pp. 326-344

This paper investigates empirically the effects of real interest rate volatility on demand for total housing and new housing in the USA. The investigation looks at monthly data from 1975 to 2006 using the autoregressive distributed lag bounds testing approach to co-integration and the Hendry...

Persistent link: https://www.econbiz.de/10008670996

The Fisher effect and the gold standard: evidence from the USA

Choudhry, Taufiq - In: Applied Economics Letters 3 (1996) 8, pp. 553-555

This paper investigates the long run relationship between nominal interest rate and the inflation rate (Fisher effect) in the USA during the gold standard era (1879-1913). Using Johansen cointegration tests, results show that there exists a Fisher effect on both the nominal short- and long-term...

Persistent link: https://www.econbiz.de/10009188895

Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011

Choudhry, Taufiq; Jayasekera, Ranadeva - In: International Review of Financial Analysis 25 (2012) C, pp. 106-116

This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying betas of firms in the banking industries of the UK and the US during good periods (booms) and bad periods (recessions). Daily data from eleven UK and US firms of different sizes from the banking...

Persistent link: https://www.econbiz.de/10010603423