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Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

Persistent link: https://www.econbiz.de/10005413091

Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Altay, Erdinc - EconWPA - 2003

This paper studies the cross-autocorrelation structure in the German and Turkish stock markets by using daily portfolio returns. We find the evidence that large cap portfolios lead small cap portfolios in both subperiods of German stock market but this structure is seen only in the first...

Persistent link: https://www.econbiz.de/10005413132

International equity flows and returns: a quantitative equilibrium approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - EconWPA - 2005

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10005062693

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005062701

Persistence Characteristics of Latin American Financial Markets

KYAW, NYO NYO A.; LOS, CORNELIS A.; ZONG, SIJING - EconWPA - 2004

Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical...

Persistent link: https://www.econbiz.de/10005561684

Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...

Persistent link: https://www.econbiz.de/10005125533

Country Funds and Asymmetric Information

Frankel, Jeffrey A.; Schmukler, Sergio L. - EconWPA - 1998

Closed-end country funds trade in New York at their price. Their Net Asset Value (NAV) represent the value of the underlying assets, usually traded in each particular country. If the holders of the underlying assets have more information about local assets than the country fund holders, changes...

Persistent link: https://www.econbiz.de/10005408198

Long-Term Dependence Characteristics of European Stock Indices

LOS, CORNELIS A.; LIPKA, JOANNA M. - EconWPA - 2004

In this paper we show the degrees of persistence of the time series if eight European stock market indices are measured, after their lack of ergodicity and stationarity has been established. The proper identification of the nature of the persistence of financial time series forms a crucial step...

Persistent link: https://www.econbiz.de/10005413038

Liquidity Effects of Changes in a Pan-European Stock Index

Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005

Adding or deleting a security to or from an index can influence the share price considerably. A possible explanation that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity after an addition is responsible for the observed rise in...

Persistent link: https://www.econbiz.de/10005413217

Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets

LOS, CORNELIS A. - EconWPA - 2004

, Singapore dollar, Taiwan dollar and the Hong Kong dollar, with the Japanese Yen and German Deutschmark as benchmarks (The U …, while the Phillipines' peso, Taiwan dollar, Yen and Deutschmark remained stationary (The Hong Kong dollar was pegged … 1997. The Thai baht traded nonstationarily in the first half of 1997, but stationarily in the second half, while the Taiwan …

Persistent link: https://www.econbiz.de/10005413228