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Securities transaction tax-case study of India

Malik, Neha - 2014

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

Persistent link: https://www.econbiz.de/10010354157

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

Persistent link: https://www.econbiz.de/10011603089

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10010476423

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

Persistent link: https://www.econbiz.de/10011438638

Understanding financial fluctuations and their relation to macroeconomic stability

Guarata, Nora; Pagliacci, Carolina - 2017

This paper examines how financial fluctuations and macroeconomic stability interact in the case of Venezuela, acknowledging that financial conditions deteriorating the macroeconomic environment can arise with both good and bad macroeconomic performance. An empirical methodology is provided that...

Persistent link: https://www.econbiz.de/10011673263

Determinants of the implied fundamentals from a target zone

Rangvid, Jesper; Sørensen, Carsten - 1997

Persistent link: https://www.econbiz.de/10000977528

Monetary integration in the Southern Cone : Mercosur is not like the EU? Ansgar Belke and Daniel Gros

Belke, Ansgar; Gros, Daniel - 2002

Persistent link: https://www.econbiz.de/10001705334

Forecasting exchange rates of major currencies with long maturity forward rates

Darvas, Zsolt M.; Schepp, Zoltán - 2020

This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...

Persistent link: https://www.econbiz.de/10012302033

Stock markets and exchange rate : impacts of equity markets on Euro-Dollar exchange rate

Heimonen, Kari - 2002

Persistent link: https://www.econbiz.de/10001728128