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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 … possibility of stock market integration and volatility spillover among India and its major Asian counterparties. Apart from …
Persistent link: https://www.econbiz.de/10015215285
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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
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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
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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
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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
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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
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Enhancing balanced portfolios with cppi methodologies – insights from a simulation exercise
Rossi, Francesco - 2008
very similar to a “safety first” approach. Hence, we will primarily be concerned with negative Skew, drawdown, volatility …
Persistent link: https://www.econbiz.de/10015233026
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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
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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 … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …
Persistent link: https://www.econbiz.de/10015260519
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Price momentum and the 1719-20 bubbles: A method to compare and interpret booms and crashes in asset markets
Condorelli, Stefano - 2018
). Furthermore, it develops news concepts and metrics (such as “strong momentum with low volatility”, “momentum efficiency”, and …
Persistent link: https://www.econbiz.de/10015262021