Search Results - subject:"STOCK PRICES"

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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences

Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001

The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...

Persistent link: https://www.econbiz.de/10005248173

Factors affecting asset price expectations: fundamentals and policy variables

Valckx, Nico - Suomen Pankki - 2001

This paper examines what factors move US and European stock and bond markets, extending earlier work by Campbell and Ammer (1993). Inflation news is incorporated into the stock and bond decomposition and explicit attention is given to different horizons over which expectations are formed....

Persistent link: https://www.econbiz.de/10005207150

Dectecting speculative bubbles in stock prices: A new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - Deutsche Bank Research - 2001

A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are …:12 period provide strong and robust support for the hypothesis that in the short-run US stock prices exhibit nonfundamental run …

Persistent link: https://www.econbiz.de/10008677256

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10010503717

Before and after 2000: revenue and high tech valuation

Xu, Lianzan; Cai, Francis - In: Competitiveness Review: An International Business Journal 19 (2009) 1, pp. 26-35

recognition practices to boost stock prices. Design/methodology/approach – The authors test empirically the hypothesis that … stock prices and reported revenues, both before and after year 2000 the stock market meltdown. Research limitations …. Practical implications – An important implication of the findings is that the association between stock prices and revenue is …

Persistent link: https://www.econbiz.de/10014702185

The lead‐lag relationship between stock index options and the stock index market : Model, moneyness, and news

Kim, Sol; Joon Kim, In; Oh Nam, Seung - In: International Journal of Managerial Finance 5 (2009) 3, pp. 311-332

Purpose – The purpose of this paper is to examine the price discovery role of the Korea Composite Stock Price Index 200 (KOSPI 200) stock index options market in contrast to other developed options markets. Design/methodology/approach – The price discovery roles of the stock and options...

Persistent link: https://www.econbiz.de/10014785302

Effect of futures trading on spot‐price volatility: evidence for NSE Nifty using GARCH

Swaroop Debasish, Sathya - In: The Journal of Risk Finance 10 (2009) 1, pp. 67-77

Purpose – The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models. Design/methodology/approach – The study considered six measures of volatility, the dynamic linear regression model, and the GARCH...

Persistent link: https://www.econbiz.de/10014901492

The impact of macroeconomic indicators on Vietnamese stock prices

Hussainey, Khaled; Khanh Ngoc, Le - In: The Journal of Risk Finance 10 (2009) 4, pp. 321-332

the industrial production) on Vietnamese stock prices. The paper examines how US macroeconomic indicators affect … Vietnamese stock prices. Design/methodology/approach – The authors use monthly time series data covering the period from January … between stock prices and macroeconomic indicators. Findings – This paper provides the first empirical evidence that there are …

Persistent link: https://www.econbiz.de/10014901509

Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets : Evidence from Ghana

Adjasi, Charles K.D. - In: The Journal of Risk Finance 10 (2009) 4, pp. 333-349

heteroskedasticity (EGARCH) model. In the second stage volatility effect of macroeconomic variables on stock prices is estimated using … and interest rates increases volatility of the stock prices, whilst higher volatility in gold prices, oil prices, and … money supply reduces volatility of stock prices. Originality/value – This paper departs from previous studies on African …

Persistent link: https://www.econbiz.de/10014901510

The value relevance of financial statements and their impact on stock prices : Evidence from Greece

Dimitropoulos, Panagiotis E.; Asteriou, Dimitrios - In: Managerial Auditing Journal 24 (2009) 3, pp. 248-265

Purpose – The aim of this paper is to examine the relevance of financial reporting. In order to achieve this, a model that includes specific ratios is developed, which have proved to be indicators of falsified financial statements in the Greek capital market, and by estimating accruals...

Persistent link: https://www.econbiz.de/10014929157