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World, Regional and Political Risk Influences Upon Asia Pacific Equity Market Returns
Heaney, Richard; Hooper, Vince - In: Australian Journal of Management 24 (1999) 2, pp. 131-142
portfolio. Financial risk indices provide some explanatory power over volatility for roughly half of the sample. The results … factor and that political risk indices may help in explaining market volatility. …
Persistent link: https://www.econbiz.de/10011135748
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Pricing to Market and a Volatile AUD
Crosby, Mark - In: Australian Journal of Management 30 (2005) 1, pp. 145-158
There are two features of exchange rate behaviour that are difficult to explain with conventional theoretical explanations. First, exchange rates are very volatile relative to fundamentals, and, second, departures from ‘fair value’ are very persistent. In this paper the implications...
Persistent link: https://www.econbiz.de/10011135772
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Global Market Conditions and Systemic Risk
González-Hermosillo, Brenda; Hesse, Heiko - In: Journal of Emerging Market Finance 10 (2011) 2, pp. 227-252
interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques …
Persistent link: https://www.econbiz.de/10011137861
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An Examination of the Effects of Corruption on Financial Market Volatility
Zhang, Aimao - In: Journal of Emerging Market Finance 11 (2012) 3, pp. 301-322
Corruption has a profound impact on many aspects of a society, such as, productivity growth, foreign direct investment or income equality. We propose that corruption also has an impact on stability of financial markets. In this study, we demonstrate a strong correlation between corruption and...
Persistent link: https://www.econbiz.de/10011137892
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Mispricing, Volume, Volatility and Open Interest
Vipul - In: Journal of Emerging Market Finance 7 (2008) 3, pp. 263-292
Interdependence of the mispricing, volatility, volume and open interest of stock futures and the volatility and volume … that persists for one day but is not explained by other variables. An increase in the volatility of futures is generally … followed by an increase in the volatility of the underlying. The volatility and volume of futures and the underlying exhibit …
Persistent link: https://www.econbiz.de/10011137899
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The Long-Run Performance of Graded IPOs in the Indian Capital Market
Dhamija, Sanjay; Arora, Ravinder Kumar - In: Global Business Review 15 (2014) 2, pp. 317-337
Initial public offering (IPO) grading was introduced in India as an additional tool to help the retail investors in making the investment decisions. The primary objective of this article is to establish the relation between the assigned grade and the long-term performance of the IPO.With a few...
Persistent link: https://www.econbiz.de/10011139730
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Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece
González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …
Persistent link: https://www.econbiz.de/10011142190
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Herding behaviour and volatility in the Athens Stock Exchange
Messis, Petros; Zapranis, Achilleas - In: Journal of Risk Finance 15 (2014), pp. 572-590
-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed … Salmon (2004). Four volatility measures are employed. Findings -The findings depict the presence of herding over two … confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or …
Persistent link: https://www.econbiz.de/10011082356
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From Diffusions to Semimartingales
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …
Persistent link: https://www.econbiz.de/10011082748
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Preface
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …
Persistent link: https://www.econbiz.de/10011082751