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Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - CESifo - 2011

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

Persistent link: https://www.econbiz.de/10009371352

Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10009371457

Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market

Laakkonen, Helinä - Suomen Pankki - 2015

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

Persistent link: https://www.econbiz.de/10011207864

IS THERE TWO-WAY ASYNCHRONOUS INFORMATION TRANSMISSION BETWEEN STOCK MARKETS AND STOCK MESSAGE BOARDS?

DONG, DAYONG; LI, LIAOLIAO; YANG, DAN; ZHU, HUILIN; … - In: International Journal of Information Technology & … 11 (2012) 04, pp. 777-792

-way volatility spillover effects: a positive volatility spillover effect from stock returns to abnormal message posting volume, and a … negative volatility spillover effect from abnormal message posting volume to stock returns. The information exchange and …

Persistent link: https://www.econbiz.de/10010569695

Transparency: panacea or Pandora's box

Welch, Theodora C.; Rotberg, Eugene H. - In: Journal of Management Development 25 (2006) 10, pp. 937-941

reported including research on the herd instinct in market volatility, the private information paradox in competitive strategy …

Persistent link: https://www.econbiz.de/10014882463

Fair value accounting and the financial crisis: a literature-based analysis

Menicucci, Elisa; Paolucci, Guido - In: Journal of Financial Reporting and Accounting 14 (2016) 1, pp. 49-71

Purpose The aim of this paper is to review the main results of accounting research literature examining the role of fair value accounting (FVA) within financial crisis. This research analyzes theoretical and empirical studies on the controversial topic about FVA and its alleged pro-cyclicality...

Persistent link: https://www.econbiz.de/10014869698

Evaluating market supervision through an overview of trading halts in the Portuguese stock market

Duque, João; Fazenda, Ana Rita - In: Journal of Financial Regulation and Compliance 11 (2003) 4, pp. 349-376

price returns, abnormal returns and volatility are used to compare the significance of differences for pre‐and post …

Persistent link: https://www.econbiz.de/10014869955

Patterns of disclosure and volatility effects in speculative industries

O'Shea, Phillip D.; Worthington, Andrew C.; Griffiths, … - In: Journal of Financial Regulation and Compliance 16 (2008) 3, pp. 261-273

repetitive disclosure to promote price volatility and heighten market interest. Excessive disclosure could indicate instances of … quantitatively investigate the impact of firm disclosure on price volatility in the Australian stock market. Design …/methodology/approach – This paper considers the effect of information disclosure on the daily stock price volatility of 340 Metals & Mining …

Persistent link: https://www.econbiz.de/10014870108

Conditional variance tests of integration between direct and indirect real estate markets

Foo Sing, Tien; Beng Stephanie Sng, Sook - In: Journal of Property Investment & Finance 21 (2003) 4, pp. 366-382

by examining the information contents of their respective ex‐post conditional volatility measures. The two markets are … said to be integrated if the conditional volatility terms of one market do not contain incremental information for the ex …‐post conditional volatility of another market. Our empirical results showed no evidence of the ex‐post returns of the direct real …

Persistent link: https://www.econbiz.de/10014898051

Regime switching and asset allocation

Liow, K.H.; Zhu, H. - In: Journal of Property Investment & Finance 25 (2007) 3, pp. 274-288

Purpose – The purpose of this paper is to explore a regime switching asset allocation model that includes six major real estate security markets (USA, UK, Japan, Australia, Hong Kong and Singapore) and focuses on how the presence of regimes affects portfolio composition....

Persistent link: https://www.econbiz.de/10014898167