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Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10009688185

PRICE DISCOVERY IN THE ATHENS DERIVATIVES EXCHANGE: EVIDENCE FOR THE FTSE/ASE-20 FUTURES MARKET

Kenourgios, Dimitris - EconWPA - 2005

results show the presence of a bi- directional causality between stock index spot and futures markets, indicating that the …

Persistent link: https://www.econbiz.de/10005413199

Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis

Rittler, Daniel - In: Journal of Banking & Finance 36 (2012) 3, pp. 774-785

the short-run dynamics, we perform Granger-causality tests. We identify the futures market to be the leader of the long …

Persistent link: https://www.econbiz.de/10010574881

Price discovery, causality and volatility spillovers in European Union allowances phase II : a high frequency analysis

Rittler, Daniel - 2009

second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

Persistent link: https://www.econbiz.de/10003902551

Correlation impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014513333

Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey

Halime Temel NalÄ±n; Güler, Sevinç - In: Romanian Economic Journal 18 (2015) 55, pp. 129-148

, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to … monthly closing prices of indices follow the random walk procedure. According to Granger causality and Johansen cointegration …

Persistent link: https://www.econbiz.de/10011241651

Does Investor Sentiment Matter in Post-Communist East European Stock Markets?

Oprea, Dragos Stefan - In: International Journal of Academic Research in Business … 4 (2014) 8, pp. 356-366

This study examines the relation between the sentiment of noise traders and stock prices in ten Post-Communist East European stock markets: Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovak Republic and Slovenia over the period April 2004 to March 2014. The...

Persistent link: https://www.econbiz.de/10010890923

Public Sector Financial Management and Output Growth in Nigeria: A Predictive Causality Test and Two-stage Least Square Approach Patterns in Neighboring Areas

Odior, Ernest Simeon; OsiAlenoghena, Raymond - In: International Journal of Economics 1 (2014) 2, pp. 1-15

causality test, a two-stage least squares (2SLS) an instrumental variables approach for data set from 1970 to 2012. The findings …

Persistent link: https://www.econbiz.de/10010904899

East Asian Equity Markets, Financial Crises, and the Japanese Currency

Cheung, Y.L.; Cheung, Y.W.; Ng, K.C. - Hong Kong Institute for Monetary Research (HKIMR), … - 2003

The paper studies the interactions between the U.S. and four East Asian markets. The focus is on the change in the information structure/flow between these markets triggered by the 1997 Asian financial crisis. It is shown that the information structure during the crisis period was different from...

Persistent link: https://www.econbiz.de/10005357483

Are corporate bond market returns predictable?

Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of Banking & Finance 36 (2012) 8, pp. 2216-2232

This paper examines the predictability of corporate bond returns using the transaction-based index data for the period from October 1, 2002 to December 31, 2010. We find evidence of significant serial and cross-serial dependence in daily investment-grade and high-yield bond returns. The serial...

Persistent link: https://www.econbiz.de/10010599662