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We study the household portfolio allocation in an economy with a history of nominal anchor volatility. Applying smooth ambiguity preferences to a static portfolio choice problem, we rationalize two facts about the Argentine experience of the last 20 years: the dollarization of household...
Persistent link: https://www.econbiz.de/10011559136
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...
Persistent link: https://www.econbiz.de/10011605703
In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators …
Persistent link: https://www.econbiz.de/10011615843
Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.
Persistent link: https://www.econbiz.de/10011985212
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our...
Persistent link: https://www.econbiz.de/10011996051
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the most beneficial tradable asset in...
Persistent link: https://www.econbiz.de/10011996061
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...
Persistent link: https://www.econbiz.de/10011996116
Through the three industrial revolutions, technology has enabled rapid changes in society. In a capitalist society, capital is invested where there is utility, for example, economic benefit. We intend to determine that the stock price of a company that uses a particular technology will change...
Persistent link: https://www.econbiz.de/10011996149
Sparked by the recent great recession and the role of financial markets, considerable interest exists among researchers within both the academic and public community in measuring and modeling systemic risk. This article introduces a new framework for measuring systemic risk by using a...
Persistent link: https://www.econbiz.de/10012017101
This study tries to calculate value at risk at Asian emerging stock markets of daily, weekly and monthly stock returns by calculating its log returns. This study also ranks equity markets on the basis on Sharpe ratio and risk adjusted returns. This process helps investors to gauge these stock...
Persistent link: https://www.econbiz.de/10012115211