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How Private Creditors Fared in Emerging Debt Markets, 1970-2000

Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004

We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s...

Persistent link: https://www.econbiz.de/10005264003

Causal effect of volume on stock returns and conditional volatility in developed and emerging market

Kumar, Manish; Thenmozhi, M. - In: American Journal of Finance and Accounting 2 (2012) 4, pp. 346-362

and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine … trading volume Granger does not cause returns and volatility and suggests that there is unidirectional causality from returns … to volume and from volatility to volume. The results strongly support the noise trader model, partially support the …

Persistent link: https://www.econbiz.de/10010816694

Macroeconomic Variables and Stock Market Returns in Ghana: Any Causal Link?

Issahaku, Haruna; Uztarz, Yazidu; Domanban, Paul Bata - In: Asian Economic and Financial Review 3 (2013) 8, pp. 1044-1062

The purpose of the study is to examine the existence of causality between macroeconomic variables and stock returns in Ghana. The study employs monthly time series data spanning the period January 1995 to December 2010. Unit root test is performed using ADF, PP and KPSS tests. Then, Vector Error...

Persistent link: https://www.econbiz.de/10010839195

The Efficiency of the Japanese Equity Market

Nagayasu, Jun - International Monetary Fund (IMF) - 2003

statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which …

Persistent link: https://www.econbiz.de/10005825859

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

Lombardi, Marco; Espinoza, Raphael A.; Fornari, Fabio - International Monetary Fund (IMF) - 2009

The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal...

Persistent link: https://www.econbiz.de/10008540921

Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness

Hashmi, Aamir R.; Tay, Anthony S. - Department of Economics, National University of Singapore - 2001

important for market volatility in models that permit time-varying conditional skewness. The influence of regional and global …

Persistent link: https://www.econbiz.de/10005518284

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … standard deviation of the sample is 35% while the sample standard deviation estimate is a mere 19%. Over-estimation of the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead …

Persistent link: https://www.econbiz.de/10005407908

RECESSION AND INTERNATIONAL MARKET CORRELATIONS

Jones, Elaine - Department of Economics and Finance, University of … - 2009

This paper investigates the relationships between various world stock indices from June 2007 to May 2009. The primary concern is whether the recession and the higher variance in daily market returns impact correlations between market indices. The results suggest that the correlations between...

Persistent link: https://www.econbiz.de/10004969345

Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index

Lee, Yen-Hsien; Liao, Ting-Huei; Huang, Ya-Ling; Huang, … - In: International Journal of Financial Research 6 (2015) 2, pp. 178-189

This study investigates the spillover effects of return and volatility between Brent oil market and stock markets … and volatility spillover indices between Brent oil market and stock markets. The empirical evidence indicates oil … indirect spillover on other countries through Canada. Finally, the result shows that the dynamics of return and volatility …

Persistent link: https://www.econbiz.de/10011267744

Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models

Bildirici, Melike; Ersin, Özgür - Volkswirtschaftliche Fakultät, … - 2012

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …

Persistent link: https://www.econbiz.de/10011113045