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Bachar FAKHRY
Pág. 98 - 121
JEL. C12, C58, D81, G01, G14, G15, G18, G40.
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Bachar FAKHRY
Pág. 227 - 256
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Aye Aye Khin,Wong Hong Chau,Ung Leng Yean,Ooi Chee Keong,Raymond Ling Leh Bin
Pág. 33 - 40
There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per ...
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Chia-Lin Chang and Michael McAleer
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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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Fernanda Maria Muller,Fábio Mariano Bayer
Pág. 40 - 73
The Beta-Skew-t-EGARCH model was recently proposed in literature to model the volatility of financial returns. The inferences over the parameters of the model are based on maximum likelihood method. These estimators have good asymptotic properties, howe...
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Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho and Cheong Kin Wan
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the v...
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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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Yaman O. Erzurumlu,Giray Gozgor
Pág. 457 - 464
This paper empirically examines short- and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Con...
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Gurmeet Singh,Muneer Shaik
Pág. 16 - 23
This study investigates the expiration effects of stock index futures before and after the introduction Bank Nifty weekly options from April 2013 to June 2019. To check for the expiration effects, the volume and mean returns for expiration groups is comp...
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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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Hamdan Abdul Hafidh Al-Farsi
Pág. 87 - 95
This paper assesses the level of adoption and implementation of enterprise risk management (ERM) in Oman publicly listed companies and explores the influence of Chief Risk Officer (CRO) on ERM effectiveness. The data was collected using a str...
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Radi M. Adayleh
Pág. 45 - 54
The current study investigates whether Finance?Led Growth Hypothesis Holds in Jordanian Economy for the period of 1992Q1 to 2016Q4, by implying ARDL bound test. The current study used four financial development indicators namely: Economics Volatility var...
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Izz Eddien N. Ananzeh
Pág. 929 - 932
There are many harmful impacts of inflation and inflation volatility in any economy, which includes increasing the risk premium, costs of hedging, and consequently leads to re-distribution of national income between strata of society unfairly. Therefore,...
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Corlise Liesl le Roux
Pág. 1 - 6
Co-movement and volatility analysis between variables are an important considerations in investment related decisions. The relationships of spot and two future priced sugar contracts are examined against the currency and main index of Brazil, China, Colo...
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Pando Sohn, Ji-Yong Seo
Pág. pp. 21 - 51
This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data fro...
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Masoud Taherinia,Alirahm Baqeri
Pág. 161 - 167
This research aimed to assess the effect of capital adequacy ratio on the ratio of the bank reserves accepted in the Tehran Stock Exchange also it was based on the Kashyap and Stein pattern (2004) and modified variables of Levintal (2005) research. Requi...
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Abdul Rasheed, Muhammad Khalid Sohail, Shahab-Ud Din and Muhammad Ijaz
This study investigates that how investment banks select alternative valuation models to price Initial Public Offerings (IPOs) and examine the value-relevance of each valuation model using the data of 88 IPOs listed on the Pakistan Stock Exchange (PSX) d...
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Pág. 1 - 30
We explore monthly seasonality in long term corporate bond monthly total returns from January 1926 to December 2013. We test three types of mont returns from January 1926 to December 2013. We test three types of month effects. We further slice the data i...
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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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