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The modern financial market theory (MFMT) – based on the efficient market hypothesis, rational expectation theory, and modern portfolio theory – has become the standard approach in financial market economics. In this article, the MFMT will be critically ­reviewed using the logic of human...
Persistent link: https://www.econbiz.de/10014524457
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10010276757
The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...
Persistent link: https://www.econbiz.de/10011994714
Sparked by the recent great recession and the role of financial markets, considerable interest exists among researchers within both the academic and public community in measuring and modeling systemic risk. This article introduces a new framework for measuring systemic risk by using a...
Persistent link: https://www.econbiz.de/10012017101
This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture,...
Persistent link: https://www.econbiz.de/10012611058
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10012619591
The financial sector particularly the mutual funds in Oman market have shown limited potential to attract consumers. Consumer attitudes towards financial investments have always been a challenge for the finance companies due to limited risk appetite of consumers which are largely attributed to...
Persistent link: https://www.econbiz.de/10010286827
Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...
Persistent link: https://www.econbiz.de/10015074910
This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of...
Persistent link: https://www.econbiz.de/10015126813
Purpose - This study aims to identify the factors that influence the willingness of Bangladeshi retail investors to invest in ṣukūk. Design/methodology/approach - The authors surveyed Bangladeshi retail investors using a structured questionnaire to understand their perspectives on potential...
Persistent link: https://www.econbiz.de/10015397842