Search Results - subject:"STOCK PRICES"

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Nigerian Stock Index: A search for optimal GARCH model using high frequency data

Yaya, OlaOluwa S. - In: CBN Journal of Applied Statistics 04 (2013) 2, pp. 69-85

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally...

Persistent link: https://www.econbiz.de/10011482591

A Financial Conditions Index for Poland

Ho, Giang; Lu, Yinqiu - International Monetary Fund (IMF) - 2013

This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approachesâ€”factor analysis and vector auto-regression approach. We evaluate the indexâ€™s...

Persistent link: https://www.econbiz.de/10011142092

Country Transparency and the Global Transmission of Financial Shocks

Marques, Luís Brandão; Gelos, Gaston; Melgar, Natalia - International Monetary Fund (IMF) - 2013

This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging...

Persistent link: https://www.econbiz.de/10011142117

Does the price of oil interact with clean energy prices in the stock market?

Managi, Shunsuke; Managi, Shunsuke; Okimoto, Tatsuyoshi - Volkswirtschaftliche Fakultät, … - 2013

In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices … to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The … stock prices and technology stock prices. …

Persistent link: https://www.econbiz.de/10011107845

Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks

Chen, Shiu-Sheng - Volkswirtschaftliche Fakultät, … - 2013

This paper uses monthly data from 1984:M10 to 2012:M8 to show that oil-sensitive stock price indices, particularly those in the energy sector, have strong power in predicting nominal and real crude oil prices at short horizons (one-month-ahead predictions), using both in- and out-of-sample...

Persistent link: https://www.econbiz.de/10011108764

Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis

Ayub, Aishahton; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013

Understanding the empirical relationship between the exchange rates, interest rates and stock prices are important and … subject extensively, few empirical studies are available in the context of the Islamic banking stock prices. In this paper, we … between exchange rate, interest rate and Islamic banking sector stock prices using monthly data over the last five years. The …

Persistent link: https://www.econbiz.de/10011109743

Clean Energy Industries and rare Earth Materials: Economic and Financial Issues

Baldi, Lucia; Peri, Massimo; Vandone, Daniela - International European Forum on Innovation and System … - 2013

In the last few years Rare Earth Materials (REMs) prices have experienced a strong increase, due to geopolitical policies and sustainability issues. Provided that these materials at risk of supply disruptions are largely employed in the development of new technologies - such as clean energy...

Persistent link: https://www.econbiz.de/10011078193

Exchange rates and commodity prices: measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Persistent link: https://www.econbiz.de/10011183664

Asset Price Bubbles; A Selective Survey

Scherbina, Anna - International Monetary Fund (IMF) - 2013

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model...

Persistent link: https://www.econbiz.de/10011242201

Foreign Investors Under Stress; Evidence from India

Patnaik, Ila; Shah, Ajay; Singh, Nirvikar - International Monetary Fund (IMF) - 2013

Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home country trigger off extreme responses by foreign investors – are foreign...

Persistent link: https://www.econbiz.de/10011242270