Showing 1 - 10 of 49
This paper examines the performance of momentum trading strategies in foreign exchange markets. We find the well-documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s. Our approach and findings are insensitive to the specification of...
Persistent link: https://www.econbiz.de/10005139020
Persistent link: https://www.econbiz.de/10005372428
Important financial risks facing the airline industry include interest-rate, currency and fuel-price risk. This paper estimates the exposure to these risks within the airline industry of Australia and New Zealand, using both linear and non-linear specifications, for a variety of horizon lengths....
Persistent link: https://www.econbiz.de/10010769464
This paper provides Australian evidence, obtained during unusual trading conditions, on put call parity theory. The empirical results show that observed violations of the theory are insufficient to indicate that economic profits can be derived therefrom after allowing for normal transaction...
Persistent link: https://www.econbiz.de/10010769641
This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a broad-based value weighted stock index are investigated for the period 1971-97. Several interesting results are...
Persistent link: https://www.econbiz.de/10005823631
Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market uncertainty, can provide "forward-looking information" about the stock–bond return correlation. This paper uses an alternative regime-switching autoregressive model to characterize...
Persistent link: https://www.econbiz.de/10005050748
We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative bond market returns spillover into lower stock market returns whereas good news originating in...
Persistent link: https://www.econbiz.de/10008499447
Recent theory and evidence from US studies suggest that aggregate market volatility risk is a strong candidate for inclusion in the list of risk factors that earn a risk premium in equilibrium. We re-examine the sensitivity of stock returns to volatility risk using delta-neutral index option...
Persistent link: https://www.econbiz.de/10005485296
Prior literature offers evidence that warrant prices tend to be higher than the prices of matched options. Explanations for warrant overpricing include a liquidity premium, hedging costs, market power and investor perceptions. Each of these explanations suggest that overpricing is likely to be...
Persistent link: https://www.econbiz.de/10005451983
Existing evidence on the relation between risk and return is conflicting. This evidence is extended by estimating a stochastic volatility in mean model using equity returns from a mix of ten emerging and five developed markets. Results suggest that while the relation is significantly positive...
Persistent link: https://www.econbiz.de/10005452103