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Persistent link: https://www.econbiz.de/10007629946
This research examines the dynamics of volatility transmission and information flow between ADRs and the underlying stocks. Using a bivariate GARCH model with BEKK parameterisation, the study investigates how changes in volatility in the ADR market affect the volatility in the underlying equity...
Persistent link: https://www.econbiz.de/10005235077
Persistent link: https://www.econbiz.de/10008087794
Persistent link: https://www.econbiz.de/10008883728
Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly, more studies have been undertaken to test the veracity of...
Persistent link: https://www.econbiz.de/10010772764
This research examines the short run dynamic adjustments and the long run equilibrium relationships between selected macroeconomic variables, trading volume and stock returns in the emerging Greek stock market during the period 1990 to 1999. Empirical results show that short run and long run...
Persistent link: https://www.econbiz.de/10005491223
In investigating the impact of futures trading on spot market volatility, it is not obvious to what extent the results obtained using data from well developed and highly liquid markets are applicable to emerging markets. This paper provides evidence on the impact of the introduction of futures...
Persistent link: https://www.econbiz.de/10005491294
The impact of voluntary disclosures on cost of equity capital is of significant interest to investors and managers. Using a disclosure scoring model this association is examined for 135 banks from Europe, North America and Australia. After controlling for the cross-sectional variation in beta,...
Persistent link: https://www.econbiz.de/10005443185
Persistent link: https://www.econbiz.de/10005403440
Evidence on ADR price discovery is provided using data for a large sample from 13 different countries for the period 1990 to 2000. Using Seemingly Unrelated Regression (SUR) and Feasible Generalized Least Squares (FGLS) models that incorporate both contemporaneous and lagged factors as exogenous...
Persistent link: https://www.econbiz.de/10005452155