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Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts

Mukherjee, Kedar nath; Mishra, R. K. - 2008

Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the...

Persistent link: https://www.econbiz.de/10015215285

Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009

Kristoufek, Ladislav - 2009

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...

Persistent link: https://www.econbiz.de/10015217686

Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎

neifar, malika - 2020

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and...

Persistent link: https://www.econbiz.de/10015219517

Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos

Espinosa Méndez, Christian - 2005

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

Persistent link: https://www.econbiz.de/10015225127

Commodity investments: opportunities for Indian institutional investors

Mukherjee, Kedar nath - 2011

An attempt has been made to establish the fact that by investing in commodities or it alternative channels, institutional investors like banks can not only compensate for the lower risk-free returns in their major chunk of investments in Government securities, but also will be able to diversify...

Persistent link: https://www.econbiz.de/10015228587

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10015231736

Enhancing balanced portfolios with cppi methodologies – insights from a simulation exercise

Rossi, Francesco - 2008

We investigate if using a CPPI-style methodology it is possible to “improve” the distribution of portfolio returns from the point of view of an investor holding a balanced portfolio with different allocations in Equities, and whose concern is to avoid significant negative returns and in...

Persistent link: https://www.econbiz.de/10015233026

What determines the behavior of the Russian stock market

Peresetsky, A. A. - 2011

In this paper we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, the Japan stock index is significant over the...

Persistent link: https://www.econbiz.de/10015233962

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 … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

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

Price momentum and the 1719-20 bubbles: A method to compare and interpret booms and crashes in asset markets

Condorelli, Stefano - 2018

This paper attempts to address one major problem with bubble studies: the difficulty to rigorously compare assets bubbles (that is to say compare them via quantitative data, rather than simply anecdotal evidence). The idea of the paper is to use a metric that is not the level of price itself,...

Persistent link: https://www.econbiz.de/10015262021