Search Results - subject:"Conditional volatility"

Corporate Social Responsibility and Stock Market Performance

Becchetti, Leonardo; Ciciretti, Rocco - Centro di Studi Internazionali Sull'Economia e la … - 2006

We analyze the performance of a large sample of SR stocks relative to a control sample of equivalent size for 14 years. We find that individual SR stocks have on average significantly lower returns and unconditional variance than control sample stocks when controlling for industry effects. This...

Persistent link: https://www.econbiz.de/10005450624

The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Department of Economics and Finance, College of … - 2013

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...

Persistent link: https://www.econbiz.de/10010907395

Volatility interdependence in European real estate securities markets : Who is the most influential?

Hiang Liow, Kim - In: Journal of European Real Estate Research 6 (2013) 2, pp. 117-138

Purpose – This paper aims to investigate the interdependence of daily conditional volatility in seven FTSE … sample European real estate securities markets has influenced or has been more influenced by others from the conditional … volatility spillover perspective in the context of economic globalization, monetary integration and financial crisis. Since …

Persistent link: https://www.econbiz.de/10014862880

Financial determinants of corn market

Sariannidis, Nikolaos - In: International Journal of Economics and Business Research 5 (2013) 2, pp. 204-213

shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns …

Persistent link: https://www.econbiz.de/10010669644

Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market

Tashpulatov, Sherzod N. - In: Energy Policy 60 (2013) C, pp. 81-90

Price fluctuations that partially comove with demand are a specific feature inherent to liberalized electricity markets. The regulatory authority in Great Britain, however, believed that sometimes electricity prices were significantly higher than what was expected and, therefore, introduced...

Persistent link: https://www.econbiz.de/10010681943

Do fine wines blend with crude oil? : seizing the transmission of mean and volatility between two commodity prices

Bouri, Elie I. - In: Journal of wine economics 8 (2013) 1, pp. 49-68

Persistent link: https://www.econbiz.de/10010197168

BRIC and the US financial crisis : an empirical investigation of stock and bond markets

Bianconi, Marcelo; Yoshino, Joe Akira; Machado de … - In: Emerging markets review 14 (2013), pp. 76-109

Persistent link: https://www.econbiz.de/10009727963

Bond Yield Compression in the Countries Converging to the Euro

Orlowski, Lucjan T.; Lommatzsch, Kirsten - 2005

We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new Member States of the European...

Persistent link: https://www.econbiz.de/10009477042

Structural Changes of the Conditional Volatility of the Portuguese Stock Market

Oliveira, Benilde Maria do Nascimento; Armada, Manuel … - In: Multinational Finance Journal 9 (2005) 3-4, pp. 189-214

structure of the conditional volatility of the Portuguese stock market. The results for the Portuguese market are not identical … structure of the conditional volatility, a reduction in market efficiency, measured by its ability to quickly incorporate new …

Persistent link: https://www.econbiz.de/10010937175

Bond Yield Compression in the Countries Converging to the Euro

Orlowski, Lucjan T.; Lommatzsch, Kirsten - William Davidson Institute, University of Michigan - 2005

Persistent link: https://www.econbiz.de/10005677459