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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

Persistent link: https://www.econbiz.de/10009958479

Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial crises 2008

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Persistent link: https://www.econbiz.de/10009958483

Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms

Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

Persistent link: https://www.econbiz.de/10010148075

An empirical investigation of the relationship between stock return and trading volume : evidence from the Jordanian banking sector

Al-Jafari, Mohamed Khaled; Tliti, Ahmad - In: Journal of applied finance & banking 3 (2013) 3, pp. 45-64

This study investigates the dynamic relationship between stock return and trading volume in the banking sector of Amman Stock Exchange (ASE). In addition, it reveals the nature and direction of this relationship. Therefore, several tests were utilized to include: Bivariate regression model,...

Persistent link: https://www.econbiz.de/10010148092

What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models

Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27

Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...

Persistent link: https://www.econbiz.de/10010009113

An investigation on the shuttle trade dynamics of a small-open-economy

Sahin, Afsin; Akdi, Yilmaz; Atakan, Cemal - In: International journal of economic sciences and applied … 1 (2008) 2, pp. 1-12

In this article we have tried to assess the possible relationships between shuttle trade and the expletory variables and the expletory variables, export (f.o.b.), import (c.i.f.) and CPI based real effective US dollar exchange rate. We employed monthly data of Turkey covering the years from...

Persistent link: https://www.econbiz.de/10009958032

Macroeconomic effects on DJSI-World returns

Sariannidis, Nikolaos; Koskosas, Ioannis; Kartalis, Nikos; … - In: International journal of economic sciences and applied … 2 (2009) 2, pp. 95-110

Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the … relation between D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchange rate is investigated. Research … results show that 10 year bond value affects positively the value of D.J.S.I.-World. However, there is a negative relation …

Persistent link: https://www.econbiz.de/10009958040

On the dynamics of the Greek twin deficits : empirical evidence over the period 1960 - 2007

Panagiotis, Pantelidis; Emmanouil, Trachanas; … - In: International journal of economic sciences and applied … 2 (2009) 2, pp. 9-32

One of the most important open macroeconomic issues, during the current global economic recession, concerns the sustainability of persistent budget and trade deficits as well as possible interactions between them. These deficits are most crucial due to severe debt servicing costs, faced by...

Persistent link: https://www.econbiz.de/10009958045

Financial development and economic growth : an empirical analysis for Ireland

Adamopoulos, Antonios - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 75-88

This study investigated the relationship between financial development and economic growth for Ireland for the period 1965-2007 using a vector error correction model (VECM). Questions were raised whether financial development causes economic growth or reversely taking into account the positive...

Persistent link: https://www.econbiz.de/10009958049

Does human capital cause economic growth? : a case study of India

Haldar, Sushil Kumar; Mallik, Girijasankar - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 7-25

This study examines the time series behavior of investment in physical capital, human capital (comprising education and health) and output in a co-integration framework, taking growth of primary gross enrolment rate and a dummy for structural adjustment programme (openness which has been...

Persistent link: https://www.econbiz.de/10009958053