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Piety and Profits : Stock Market Anomaly During the Muslim Holy Month
Bialkowski, Jedrzej Pawel - 2011
Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...
Persistent link: https://www.econbiz.de/10013134379
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …
Persistent link: https://www.econbiz.de/10003828611
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Cheikh, Nidhaleddine Ben - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012913874
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Cheikh, Nidhaleddine Ben - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012914946
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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...
Persistent link: https://www.econbiz.de/10012895183
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The Time-Varying Nature of Risk Aversion : Evidence from 60 Years of U.S. Stock Market Data
Pépin, Dominique - 2020
We investigate the time variations of the relative risk aversion parameter of a U.S. representative agent using 60 years of stock market data. We develop a methodology to identify the variables that explain the variations of risk aversion, based on an asset pricing model without valuation (or...
Persistent link: https://www.econbiz.de/10012827244
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A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Cao, Ji - 2017
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …
Persistent link: https://www.econbiz.de/10012966262
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World Pandemic Uncertainty and German Stock Market : Evidence from Markov Regime-Switching and Fourier Based Approaches
Athari, Alireza; Kirikkaleli, Dervis; Adebayo, Tomiwa Sunday - 2021
Since the beginning of 2020, the effect of COVID-19 on the stock markets in developed and developing countries has been taken the attention of researchers. However, the existing empirical studies mainly focus on the short period. The present study aims to close this hole in the prior studies on...
Persistent link: https://www.econbiz.de/10013220662
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Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations
Avdjiev, Stefan - 2013
incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …
Persistent link: https://www.econbiz.de/10013094186
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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …
Persistent link: https://www.econbiz.de/10013128075