Showing 1 - 10 of 22,967
speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk … Tobin tax have similar effects on financial and macroeconomic variables. Borrowing limits and a financial transaction tax …
Persistent link: https://www.econbiz.de/10011436064
in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with … emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the … high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to …
Persistent link: https://www.econbiz.de/10014257939
- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …
Persistent link: https://www.econbiz.de/10009743539
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The...
Persistent link: https://www.econbiz.de/10014027534
affecting the Indian stock market volatility. There is a general belief on macroeconomic variable affects the functioning of … stock market and its volatility (PallaviKudal 2010). In developing countries like India stock markets are sensitive to … researcher to find out whether the macroeconomic variable changes create any volatility in the Indian stock market. This study …
Persistent link: https://www.econbiz.de/10012950238
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
The paper investigates the role of speculation in the Liverpool cotton futures market between 1921 and 1929. The analysis is based on historical descriptions of the working of speculation in commodity markets and is related to the tenets of behavioural finance. The model posits the existence of...
Persistent link: https://www.econbiz.de/10013085214
Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...
Persistent link: https://www.econbiz.de/10013119944
with respect to their effectiveness in preventing bubbles. A reduction of manager bonuses or a Tobin tax can create or …
Persistent link: https://www.econbiz.de/10008738294