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An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - 2009
This paper studies excess market returns in the relatively understudied nancial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM; and...
Persistent link: https://www.econbiz.de/10015215679
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The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10015216234
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Testing Efficiency Performance of an Underdeveloped Stock Market
Onour, Ibrahim - 2007
Market inefficiency has influence on resource allocation, as price signals tend systematically understate or overstate the effects of information transmitted to the trading parties in the market. In this paper a number of statistical tests employed to assess the weak-form efficiency of Khartoum...
Persistent link: https://www.econbiz.de/10015216729
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Stock Futures Introduction & Its Impact on Indian Spot Market
Bhattacharyya, Surajit; Saxena, Arunima - 2008
-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …
Persistent link: https://www.econbiz.de/10015216879
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Equity Price Bubbles in the Middle Eastern and North African Financial Markets
Jahan-Parvar, Mohammad; Waters, George - 2009
We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles....
Persistent link: https://www.econbiz.de/10015218611
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An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - 2009
This paper studies excess market returns in the relatively understudied nancial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM; and...
Persistent link: https://www.econbiz.de/10015218826
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Estimating Long-Run Cointegration between Gold Prices and its Determinants
Siddiqi, Umema - 2021
The aim of this paper is to analyse the determinants of gold prices in Pakistan and to deduce long run co-integration between them, if any. The impact of global gold prices, interest rates, foreign exchange rates, silver prices and stock market performance have been measured on the gold prices...
Persistent link: https://www.econbiz.de/10015219520
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Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
El Bouhadi, A.; Ounir, A.; El Maguiri, M. - 2008
: the collection of data to be able to constitute our sample; the estimation of returns, of beta sensibility coefficients …
Persistent link: https://www.econbiz.de/10015219831
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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … parameters in the model, making estimation straightforward in practice. The proposed estimators are IV-like with potentially many … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …
Persistent link: https://www.econbiz.de/10015220012
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Measuring market risk using extreme value theory
Mapa, Dennis S.; Suaiso, Oliver Q. - 2009
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk. In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory: (1) static...
Persistent link: https://www.econbiz.de/10015220770