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Christian Rudolf RICHTER,Bachar FAKHRY
Pág. 524 - 535
JEL. B23, C12, C13, C58, G01, G14, G15, H63.
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Ralf Wandmacher,David J. Bradfield
AbstractIn this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rub...
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Ralf Wandmacher,David J. Bradfield
AbstractIn this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rub...
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Hudson Chaves Costa,João Henrique Gonçalves Mazzeu,Newton Carneiro Affonso da Costa Jr.
Pág. 225 - 268
The present paper evaluates by approach of Campbell et al. (2001) the evolution of the three volatility components of the Brazilian stocks in the period 1996 to 2010. It is identified that the idiosyncratic component of the volatility does not have the s...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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Edesiri Nkemnole
AbstractThe movement of stock prices, in capital markets across the world, has been found to be both random and non-random. Basically, for a stock price to follow a random walk, its future price changes randomly based on all currently available informati...
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Jelena Radojicic,Ognjen Radovic
Pág. 053 - 069
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of retu...
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Atsuyuki Naka, Ece Oral
This paper examines the volatility of Dow Jones Industrial Average stock returns and the trading volume by employing stable Paretian GARCH and Threshold GARCH (TGARCH) models. Our results indicate that the trading volume significantly contributes to the ...
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Kamal P. Upadhyaya, Raja Nag and Franklin G. Mixon, Jr.
India is among the largest and fastest-growing economies in the world. To continue its growth, energy is and will continue to be one of its most important considerations. With a population of over one billion, India is the third largest consumer of petro...
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Colin Ellis
Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors?specifically, defaults in one sector leading to cr...
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Nidhi Malhotra,Saumya Gupta
Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl...
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sonia KOUKI
Pág. 28 - 38
In this paper, we empirically examine time-varying risk premia in the Tunisian foreign exchange market by applying GARCH-M modeling to the TND/Euro and TND/USD parities for 1 to 12 months forecasting horizons. Our ultimate objective is to help better man...
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Alcides Araújo,Alessandra Montini,Joelson Sampaio
Pág. 51 - 79
This paper examines a combination of HAR and neural networks methods to better predict perceived volatility and, consequently, to more efficiently manage risk. To carry out the projections, combinations and tests, the series of perceived volatility of Ib...
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Yassine Belasri,Rachid Ellaia
Pág. 384 - 396
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. M...
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Muhsin Kar, Tayfur Bayat and Selim Kayhan
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change am...
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Conglin Chen, Joseph H. Podolsky, Nacu Hernandez, Austin Hohmann, ... Eric W. Cochran
Pág. 3592 - 3600
Historically, the use of ?green? materials around the world has been limited due to their higher production costs when compared to petrochemical derived materials. However, due to the recent volatility and increasing price of petroleum derivatives, there...
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Serhan Cevik,Joshua Charap
Pág. 111 - 124
This paper examines the empirical behavior of conventional bank deposit rates and the rate of return on retail Islamic profit-and-loss sharing (PLS) investment accounts in Malaysia and Turkey, using monthly data from January 1997 to August 2010...
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