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The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...

Persistent link: https://www.econbiz.de/10012628390

The correlation between economic indicators and taiwan stock market - a case study of leading and lagging indicators

Yang, Lori Tzu-Yi - In: Financial studies 24 (2020) 4, pp. 41-59

This study investigates the correlation between economic indicators and Taiwan stock market, analysing the leading and lagging indicators from January 1995 to December 2016 to determine whether there is any significant correlation between the indicators and the stock market. With Large-cap Stock...

Persistent link: https://www.econbiz.de/10012421825

Performance of fiscal measures in rectifying fiscal imbalances in Saudi Arabia

Naseem, Sana - In: Financial studies 24 (2020) 4, pp. 41-59

Persistent link: https://www.econbiz.de/10012421831

Internal financial determinants of stock prices in the banking sector : comparative evidence from Dubai and Abu Dhabi Stock markets

Azmeh, Chadi; Hamada, Rasha - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 3-16

The present study has been conducted to examine the impact of seven of most important internal factors on stock prices for all listed banks in Dubai and Abu Dhabi stock markets. Pooled Least Square, Fixed Effects (FE), and Random Effects (RE) models have been used to carry out the analysis for...

Persistent link: https://www.econbiz.de/10013484926

Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19 : evidence using DCC-GARCH and cascade-correlation network

Ibrahim, Bassam A.; Elamer, Ahmed A.; Alasker, Thamir H.; … - In: Financial innovation : FIN 10 (2024), pp. 1-28

The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market...

Persistent link: https://www.econbiz.de/10014540621

Correlation between the DJSI Chile and the financial indices of Chilean companies

Chahuán-Jiménez, Karime - In: International Journal of Financial Studies : open … 8 (2020) 4/74, pp. 1-14

The Dow Jones Sustainability Index Chile (DJSI Chile) is made up of leading sustainability companies that are investing great effort into sustainable management. This study correlates the DJSI Chile with the financial indices (return on equity (ROE), return on assets (ROA), market value,...

Persistent link: https://www.econbiz.de/10012322149

Has COVID-19 changed the correlation between cryptocurrencies and stock markets?

Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156

The COVID-19 pandemic has challenged the notion that cryptocurrencies are uncorrelated with traditional asset markets. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European stock market indices from January 4, 2016, to February...

Persistent link: https://www.econbiz.de/10014445351

Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

Persistent link: https://www.econbiz.de/10012695328

Modelo evolutivo del impacto de técnicas VaR en los mercados financieros

Llacay, Bàrbara; Peffer, Gilbert - In: Revista de métodos cuantitativos para la economía y … 36 (2023), pp. 1-25

In recent years, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become more unstable. To analyse these claims, we present a model based on evolutionary game theory of a financial...

Persistent link: https://www.econbiz.de/10014452090

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5

Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...

Persistent link: https://www.econbiz.de/10013273487