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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange

Henke, Harald - 2004

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

Persistent link: https://www.econbiz.de/10009460735

Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility

Haberer, Markus - 2006

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

Persistent link: https://www.econbiz.de/10009471738

Offene und geschlossene Immobilienfonds - ein Vergleich

Stiefel, Sandra; Diringer, Arnd; Grau, Michael - 2010

Begrifflichkeiten und rechtliche Grundlagen über offene und geschlossene Immobilienfonds.Beim Vergleich soll …

Persistent link: https://www.econbiz.de/10009460938

Real Estate Asset Allocation auf Basis des Black-Litterman-Ansatzes. Ein Modell zur gleichgewichtsorientierten Portfoliodiversifikation an zyklischen Immobilienm?rkten

Zankl, Stephan - 2009

Kern der vorliegenden Arbeit ist die Entwicklung eines Black-Litterman-Modells zur Allokation von Immobilienportfolios. Motiviert durch die global zunehmende Bedeutung des Immobilien-Portfoliomanagements und die begrenzte Eignung der Markowitz?schen Portfolio-Selektionstheorie in der Praxis wird...

Persistent link: https://www.econbiz.de/10009484812

Handelbarkeit und Informationsgehalt von Volatilitätsindizes

Schöne, André - 2011

Persistent link: https://www.econbiz.de/10009452655

Political and institutional aspects of stock return dynamics

Gottschalk, Katrin - 2009

examines stock market volatility around national elections and finds that investors are exposed to substantial election risk …. Factors that magnify the election-induced excess volatility are identified. The third part presents new empirical evidence …

Persistent link: https://www.econbiz.de/10009454684

Four Essays on Measuring Financial Risks

Chiriac, Roxana-Mihaela - 2010

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

Persistent link: https://www.econbiz.de/10009471737

Evaluating the Liquidity of Stocks using Transaction Data

Ivanchuk, Nataliya - 2004

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...

Persistent link: https://www.econbiz.de/10009471789

The Impact of Stock Market Liberalization on Emerging Equity Market Volatility

Dhir, Pawan - 2007

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

Persistent link: https://www.econbiz.de/10009429052

Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility

Apergis, Nicholas; Miller, Stephen M. - 2007

This paper empirically assesses whether monetary policy affects real economic activity through its affect on the aggregate supply side of the macroeconomy. Analysts typically argue that monetary policy either does not affect the real economy, the classical dichotomy, or only affects the real...

Persistent link: https://www.econbiz.de/10009430116