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Taiwan and U.S. Equity Market Interdependence and Contagion : Evidence from Four-Factor Model

Li, Chun An - 2019

empirical results show that the co-movement effect on Taiwan's industrial portfolios returns are affected by “global,” “regional …,” and “domestic” factors. Additionally, in the subprime mortgage crisis period, the contagion effect of Taiwan's industrial … portfolios returns was affected by the domestic and crisis factor. Based on our empirical study, the transmission of Taiwan …

Persistent link: https://www.econbiz.de/10012898290

Bigger fish in small pond : the interaction between foreigners' trading and emerging stock market returns under the microscope

Ülkü, Numan; Weber, Enzo - 2011

This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional correlation (SCC) methodology to identify the...

Persistent link: https://www.econbiz.de/10008811276

The News Effect and Asset Pricing in Taiwan Stock Market

Lu, Ralph - 2013

applied to quantify the public news related to the listed stocks in the Taiwan Stock Market. By Referring to Demers and Vega …. The study samples are the listed stocks in the Taiwan Stock Exchange for the period from January 2004 through December … could explain the portfolios abnormal returns in the Taiwan Stock Market. The empirical results show that the news effect …

Persistent link: https://www.econbiz.de/10013086628

The turn of the month effect on cee stock markets

Arendas, Peter; Kotlebova, Jana - In: International Journal of Financial Studies : open … 7 (2019) 4/57, pp. 1-19

The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during...

Persistent link: https://www.econbiz.de/10012150530

Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model

Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock markets over the period January 2000 to August 2021 using a diagonal BEKK-AMGARCH model. Results show that the Nigerian stock market exhibits characteristics of inefficiency, as...

Persistent link: https://www.econbiz.de/10014516032

The Listing and Delisting of German Firms on NYSE and NASDAQ : Were There Any Benefits?

Bessler, Wolfgang - 2014

We examine the NYSE and NASDAQ listing and delisting decisions of German companies in the context of the market segmentation and bonding theories. Both theories explicitly or implicitly assume that cross listing resulted in lower costs of capital and higher market valuations for the firms....

Persistent link: https://www.econbiz.de/10013067406

Market Impact : Evidence From the Brazil Stock Market

Genaro, Alan - 2020

Market impact risk is a specific type of liquidity risk. It describes the risk of not being able to execute a trade at the currently quoted price because this trade feeds back in an unfavorable manner on the underlying price. This makes market impact modeling a fascinating and active research...

Persistent link: https://www.econbiz.de/10012840247

Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market

Zhang, Henry - 2017

In China, a large proportion of companies are state owned, and this factor is a likely important driver of assets prices. In this paper, a State-Owned Enterprise (SOE) benchmark/factor is constructed along with the market factor and common benchmarks used in the literature to explain returns –...

Persistent link: https://www.econbiz.de/10012953152

Foreign Portfolio Investment and Stock Market Performance in Nigeria

Idowu, Adbulkadri - 2019

The paper examines the impact of foreign portfolio investment (FPI) on stock market performance in Nigeria using monthly data from year 2006 to 2015. Results from ARDL bound testing approach reveals that FPI have adverse effect on market performance. However, the role of FPI altered during the...

Persistent link: https://www.econbiz.de/10012893824

Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program

Liu, Clark - 2020

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

Persistent link: https://www.econbiz.de/10012855747