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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach

Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

Persistent link: https://www.econbiz.de/10011450341

Evaluation of variable annuity guarantees with the effect of jumps in the asset price process

Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

volatility, the fact that Black–Scholes model ignores abnormal asset price changes due to jumps is likely to under-price the VA …

Persistent link: https://www.econbiz.de/10011881290

The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19 : empirical insights of Pakistan

Tabash, Mosab I.; Babar, Zaheeruddin; Sheikh, Umaid A.; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-22

This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4...

Persistent link: https://www.econbiz.de/10014500264

Role of 2008 financial contagion in effecting the mediating role of stock market indices between the exchange rates and oil prices : application of the unrestricted VAR

Tabash, Mosab I.; Asad, Muzaffar; Khan, Ather Azim; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-19

followed by a co-integration technique by Johansen (1988). We find that stock market indexes serve as a transmission channel …

Persistent link: https://www.econbiz.de/10014500356

Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries

Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

Persistent link: https://www.econbiz.de/10013464376

Exchange rate movement and stock market performance : an application of the ARDL model

Javangwe, Kudakwashe Zvitarise; Takawira, Oliver - In: Cogent economics & finance 10 (2022) 1, pp. 1-20

The study examines the relationship between the stock market and exchange rate in South Africa for the period from 1980 to 2020. Quarterly data was used employing the Autoregressive Distributed Lag (ARDL) model given the order of integration of the variables. The empirical results revealed that...

Persistent link: https://www.econbiz.de/10013454669

Symmetrical cointegrating relationship between money supply, interest rates, consumer price index, terroristic disruptions, and Karachi stock exchange : does global financial crisi...

Sheikh, Umaid A.; Asad, Muzaffar; Israr, Aqeel; Tabash, … - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

2). Monthly level data representing macroeconomic volatility has been incorporated from the trading economics website …

Persistent link: https://www.econbiz.de/10013179670

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …

Persistent link: https://www.econbiz.de/10013179569

On a robust estimation of option-implied interest rates and dividend yields

Kamau, Muoria; Mwaniki, Ivivi Joseph - In: Cogent economics & finance 11 (2023) 2, pp. 1-20

In this paper, a simple no-arbitrage methodology to estimate option-implied interest rates and dividend yields simultaneously via a regression model is employed. Since the mean-based least squares estimation places equal weights on all data points making it sensitive to outliers, a robust...

Persistent link: https://www.econbiz.de/10014501256

Linkages among commodity futures prices in the recent financial crisis : an application of cointegration tests with a structural break

Tsuchiya, Yoichi - In: Cogent economics & finance 3 (2015) 1, pp. 1-13

. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long …

Persistent link: https://www.econbiz.de/10010492392