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In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10011551425
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10015212259
, reduces the cost of governance via intervention, facilitates the entrance of informed traders who produce valuable information …
Persistent link: https://www.econbiz.de/10011099777
Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information …
Persistent link: https://www.econbiz.de/10011268784
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
. Employing various proxies for asymmetric information and data from advanced and emerging bond markets, we review the evidence … that split ratings are caused by asymmetric information between firms and credit rating agencies. We then apply the debt …
Persistent link: https://www.econbiz.de/10011209759
that can be estimated with financial transaction data. In the model, rational herding arises because of information …
Persistent link: https://www.econbiz.de/10010815687
return. Fourthly, open source information can enhance the speed of information dissemination and make the market efficient. …
Persistent link: https://www.econbiz.de/10010737996