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The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals...
Persistent link: https://www.econbiz.de/10014215075
Persistent link: https://www.econbiz.de/10001779696
We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing a VAR model fitted with DCC GARCH, we find that comovements of spreads generally exhibit significant time-varying correlations,...
Persistent link: https://www.econbiz.de/10012997176
Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a secular trend, volatility clustering and calendar...
Persistent link: https://www.econbiz.de/10013004111
We document that institutional trading and short selling around earnings announcements are 15%-20% lower during school holidays than other times. This reduced trading cannot be explained by liquidity or short sale constraints. Prices react to negative news released during school holidays with a...
Persistent link: https://www.econbiz.de/10013005646
We examine whether country fundamentals help explain the cross-section of currency excess returns. For this purpose, we consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in the multi-factor model framework. Our empirical...
Persistent link: https://www.econbiz.de/10013006242
Empirical reports of priced foreign exchange (FX) risk raise the question of whether managers should adjust their cost of equity estimates for FX risk. To study this question, we empirically compare the cost of equity estimates of several risk-return models, including some that have explicit FX...
Persistent link: https://www.econbiz.de/10013007147
Long histories of returns are needed but often lacking when estimating the equity premium. This paper studies stock return predictability from the perspective of a Bayesian investor who has access to international data. Learning across countries arises whenever this investor believes that...
Persistent link: https://www.econbiz.de/10012972060
The present paper endeavours to study the trading behaviour of foreign institutional investors (FIIs) and domestic institutional investors (DIIs) in Indian stock market. The study ascertains whether the purchase trade and sale trade behaviour of foreign institutional investors is different from...
Persistent link: https://www.econbiz.de/10012949470
A growing literature argues that slower output growth is one of the main contributing factors to the fall in the natural rate of interest. Consistent with this evidence, we show empirically that real GDP growth is a major driver of the nominal yield curve. Specifically, the rate of economic...
Persistent link: https://www.econbiz.de/10012950319