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Short‐sell moratorium effects on regional bank performance

Devaney, Michael; Weber, William L. - In: Journal of Financial Economic Policy 5 (2013) 2, pp. 92-110

Purpose – The purpose of this paper is to investigate the effects of the 2008 SEC short‐sell moratorium on regional bank risk and return. The paper also examines the decline in “failures to deliver” securities in the wake of SEC short‐sell moratorium. Design/methodology/approach – In...

Persistent link: https://www.econbiz.de/10014866879

Modeling volatility on the Karachi Stock Exchange, Pakistan

Akhtar, Shahan; Khan, Naimat U. - In: Journal of Asia Business Studies 10 (2016) 3, pp. 253-275

conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean … [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also … only in the monthly returns making only the EWMA model usable to measure the volatility level in the monthly series. The P-GARCH …

Persistent link: https://www.econbiz.de/10014838459

Sensitivity of stock indices to global events: the perspective for Pakistani Canadians

Yeung, Wing Him; Aman, Asad - In: Journal of Economic and Administrative Sciences 32 (2016) 2, pp. 102-119

Purpose This paper compares the performance and volatility of the Toronto Stock Exchange in Canada and the Karachi Stock Exchange in Pakistan, as well as the sensitivities of the two stock exchanges to major global events. The purpose of this paper is to assist the Pakistani immigrants in Canada...

Persistent link: https://www.econbiz.de/10014857634

Sport and emerging capital markets: market reaction to the 2022 World Cup announcement

Abuzayed, Bana - In: International Journal of Islamic and Middle Eastern … 6 (2013) 2, pp. 122-141

. Two testing methodologies are used in this study, event study as well as GARCH and EGARCH models. Additionally, sector …

Persistent link: https://www.econbiz.de/10014826571

Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Shin (Aaron) Kim, Young; (Zari) T. … - In: International Journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Purpose – In Islamic finance (IF), the safety-first rule of investing ( hifdh al mal ) is held to be of utmost importance. In view of the instability in the global financial markets, the IF portfolio manager ( mudharib ) is committed, according to Sharia , to make use of advanced models and...

Persistent link: https://www.econbiz.de/10014826953

Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

Aussenegg, Wolfgang; Miazhynskaia, Tatiana - In: Financial Markets and Portfolio Management 20 (2006) 3, pp. 243-264

Persistent link: https://www.econbiz.de/10005722911

: A Risk Management Approach to Optimal Asset Allocation

Flavin, Thomas J.; Wickens, Michael R. - Department of Economics, National University of Ireland - 1998

from a new specification of the multivariate GARCH process that is particularly well suited to modelling asset returns due …

Persistent link: https://www.econbiz.de/10005656658

Optimal International Asset Allocation and Home Bias

Flavin, Thomas J.; Wickens, Michael R. - Department of Economics, National University of Ireland - 1998

points of view of a UK and a US investor. A multivariate GARCH model is used to estimate the conditional covariance matrix of …

Persistent link: https://www.econbiz.de/10005656681

Macroeconomic Sources of FOREX Risk

Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002

and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …

Persistent link: https://www.econbiz.de/10005661706

It Pays to Violate: How Effective are the Basel Accord Penalties?

Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

Persistent link: https://www.econbiz.de/10008484079