Search Results - subject:"STOCK PRICES"

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Herding of institutional traders: New evidence from daily data

Kremer, Stephanie - 2010

This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the...

Persistent link: https://www.econbiz.de/10010303818

The weekly structure of US stock prices

Caporale, GM; Gil-Alana, LA - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10009481444

A-Reit price responses to cash rate changes

Huang, Yan; Liu, Chunlu - 2010

negative influence on the equity A-REIT stock prices. A series of successive cash rate changes do not take a continuous and … dramatic effect on the equity A-REIT stock prices in each economic cycle. Moreover, the A-REITs with relatively smaller assets … assets have relatively steady stock prices. Overall, the findings from this research lead to a call for comprehensive …

Persistent link: https://www.econbiz.de/10009484079

An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

Jordaan, F. Y.; Van Rooyen, J. H. - 2010

This study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects,...

Persistent link: https://www.econbiz.de/10009442277

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

Persistent link: https://www.econbiz.de/10010285754

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International Journal of Economic Sciences and Applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10010289449

La BCE réagit-elle au prix des actifs financiers ?

Pepin, Dominique - HAL - 2010

specified monetary policy rule implying that the ECB reacts to stock prices movements must include some measure of the gap … between actual stock prices and fundamental values. We develop an original methodology to measure such a deviation, and we … when stock prices are over(under)-evaluated; he is partisan of a wait-and-see policy, reacting only when the price gap is …

Persistent link: https://www.econbiz.de/10010821468

Some observations and lessons from the crisis

Potter; Simon M. - Federal Reserve Bank of New York - 2010

Remarks at the Third Annual Connecticut Bank and Trust Company Economic Outlook Breakfast, Hartford, Connecticut.

Persistent link: https://www.econbiz.de/10010724969

Asset bubbles and the implications for central bank policy

Dudley, William - Federal Reserve Bank of New York - 2010

Remarks at The Economic Club of New York, New York City.

Persistent link: https://www.econbiz.de/10010725001

Commentary: monetary policy and stock market booms

Geanakoplos, John - In: Proceedings - Economic Policy Symposium - Jackson Hole (2010), pp. 147-164

Persistent link: https://www.econbiz.de/10010725858