Similar Search Results

Should South Asian stock market investors think globally? : investigating safe haven properties and hedging effectiveness

Gazi, Md. Abu Issa; Nahiduzzaman, Md.; Sarker, Sanjoy Kumar - In: Economies : open access journal 12 (2024) 11, pp. 1-32

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

Persistent link: https://www.econbiz.de/10015197820

A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?

Schmidt, Robert; Leitner, Johannes - 2004

markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …

Persistent link: https://www.econbiz.de/10010296526

Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

Persistent link: https://www.econbiz.de/10010305737

Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat native … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

Persistent link: https://www.econbiz.de/10010498976

Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?

Balcilar, Mehmet - 2013

This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition probability Markov Switching model (TVTP-MS). Our results suggest that the GCC frontier stock...

Persistent link: https://www.econbiz.de/10013088754

Aggregate Hedge Funds Flows and Returns

Beltratti, Andrea - 2013

In the paper a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved...

Persistent link: https://www.econbiz.de/10013095965

Investor Herds and Regime-Switching : Evidence from Gulf Arab Stock Markets

Balcilar, Mehmet - 2012

This paper proposes a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets – Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia. Our results support the presence of three market regimes (low, high and extreme...

Persistent link: https://www.econbiz.de/10013100628

False Safe Haven Assets : Evidence from the Target Volatility Strategy Based on Recurrent Neural Network

Kaczmarek, Tomasz; Bedowska-Sojka, Barbara; Grobelny, … - 2021

Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance. This paper examines the efficiency of a...

Persistent link: https://www.econbiz.de/10013234906

The Dynamic Connectedness Between Private Equities and Other High-Demand Financial Assets : A Portfolio Hedging Strategy During COVID-19

Papathanasiou, Spyros; Vasiliou, Dimitrios; Magoutas, … - 2023

In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework. For this objective, we...

Persistent link: https://www.econbiz.de/10014349609

Liquidity Needs, Private Information, Feedback Trading : Verifying Motives to Trade

Ge̜bka, Bartosz - 2012

We analyze investors' motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying...

Persistent link: https://www.econbiz.de/10013104012