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Vikram Mohite, Vibha Bhandari
Pág. 106 - 120
AbstractThe study investigates the financial market?s response during the period of last nine months starting from the day when first COVID-19 case was confirmed in India. This paper attempts to gauge the impact of rise in COVID-19 confirmed number of ca...
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Shailesh Palekar,Maura Atapattu,Darshana Sedera
Presence of black markets is not common for every industry but is a unique phenomenon in the industries such as asset pooling and leasing services. The unique business models and the asset flows that we see in such industries are susceptible for such thr...
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Sisili Rahman,Biplab Das,Tazrina Farah
Pág. 76 - 83
This paper seeks to identify the spillover effect of remittance and private sector credit disbursement, on the capital market and real estate of Bangladesh during the period of 2003-2013. The paper applied Vector Auto regression and Cholesky Factorizatio...
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Samet Günay
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and...
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Jordan French
The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coeffi...
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D. J. Bradfield,G. D.I. Barr,J. F. Affleck-Graves
AbstractThe authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAP...
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D. J. Bradfield,G. D.I. Barr,J. F. Affleck-Graves
AbstractThe authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAP...
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Isabet Ebru YAZICIOGLU, Hasan KAZAK
Pág. 91 - 118
Sukuk is an interest-free Capital market tool developed for use in Islamic finance. Sukuk is an Islamic compliant certificate, which is developed as an alternative to traditional bonds and which is based on asset-based securities with different character...
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Caner Özdurak and Veysel Ulusoy
The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in the US financial markets. After a decade of the so-called subprime crisis, the impact of market news on asset volatilities increased sig...
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Kim Hiang LIOW and Sherry YEO
This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets cor...
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Kwasi Okyere-Boakye,Brandon O?Malley
AbstractBeta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging ...
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Ailie Charteris
AbstractSeveral studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were...
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Mehdi Shirafkan, Sarah Masoomzadeh, Morteza Sayareh
PURPOSE Due to the nature of the assets in Iran, markets such as stock markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher...
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Calin Vâlsan, Elena Druica and Eric Eisenstat
We propose an agent-based model of financial markets with only one asset. Thirty-two agents follow very simple rules inspired by Wolfram?s Rule 110. They engage in buying, selling, and/or holding. Each agent is endowed with a starting balance sheet marke...
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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Julián Fernández Mejía,Jorge Mario Uribe
Pág. 83 - 103
This article analyzes different international share price indices for the period 1995-2013, in order to test for the existence and date of appearance of asset price explosions in the world?s stock markets. A sign test is employed to construct different i...
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Mikhail Vyacheslavovich Zharikov
The article is time relevant, since a number of countries, such as China and Russia, started pilot testing their digital currencies in 2020, due to the necessity of contactless means of payment during the coronavirus pandemic. The purpose of this researc...
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Zixiu Yang and Dean Fantazzini
This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscil...
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