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Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012

Panait, Iulian; Constantinescu, Alexandru - 2012

Our paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra,...

Persistent link: https://www.econbiz.de/10015235644

Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange

Kouadio, Jean Joel; Mwamba, Muteba; Bonga-Bonga, Lumengo - 2019

This paper assesses the impact of systematic tail risk of stocks, defined as a stock’s exposure to market tail events, on the cross section returns of an emerging stock exchange, especially the Johannesburg Stock Exchange (JSE) from January 2002 through June 2018. If stock market investors are...

Persistent link: https://www.econbiz.de/10015265415

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

The Resolution of Economic Conflicts: Beyond the Economic System

Obregon, Carlos - 2022

Economic conflict resolution historically has been seen, by the main schools of economic thought, as the distribution of given, scarce resources. The neoclassical school argued that the distribution was efficiently solved by the price system, and the Marxist school argued that a revolution to...

Persistent link: https://www.econbiz.de/10015214333

An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods

SHAHANI, RAKESH; PALIWAL, RIYA - 2020

The present study empirically investigates the inter-linkages and co-movement between different asset class namely Crude, Gold, Nifty 50 Stock Index and Rupee-Dollar Exchange Rate during the two crisis periods viz. the Sub-Prime and the Coronavirus Crisis. The methodology employed for...

Persistent link: https://www.econbiz.de/10015221707

Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011

Panait, Iulian; Slavescu, Ecaterina Oana - 2012

indices around the world and find that such results are similar to other low capitalization and trading volume markets. For …

Persistent link: https://www.econbiz.de/10015232035

Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis

Antonakakis, Nikolaos; Vergos, Konstantinos - 2012

In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007 - June 18, 2012, thus considering the intriguing features of BYS spillovers during the global financial and the Euro zone debt crisis. Splitting our sample to...

Persistent link: https://www.econbiz.de/10015235050

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable … volatility in G, is this volatility usable as part of a contrarian "buy low, sell high" strategy? If yes, how? In answer to these …

Persistent link: https://www.econbiz.de/10015260519

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...

Persistent link: https://www.econbiz.de/10015266578

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...

Persistent link: https://www.econbiz.de/10015266597