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Contingent convertible bonds (CoCos) are increasingly popular financial instruments used by banks to satisfy capital requirements. CoCos with market-based conversion triggers in particular receive much attention in the literature. The pricing of CoCos with such a market trigger is problematic as...
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The purpose of the study is to examine the existence of causality between macroeconomic variables and stock returns in …-run relationship between stock performance and macroeconomic variables. In order to determine the existence or otherwise of causality …, the Granger Causality tests is performed. Impulse response functions and forecast error variance decomposition are used to …
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