Similar Search Results

Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - Institute of Economic Research, Kyoto University - 2013

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

Persistent link: https://www.econbiz.de/10010663638

Dynamic return predictability in the Russian stock market

Kinnunen, Jyri - In: Emerging Markets Review 15 (2013) C, pp. 107-121

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the...

Persistent link: https://www.econbiz.de/10010666220

How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

Chu, Lan-Fen; McAleer, Michael; Chen, Chi-Chung - In: Journal of Reviews on Global Economics 1 (2012), pp. 1-12

This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …

Persistent link: https://www.econbiz.de/10010667375

Terms of trade cycles in extreme land abundant countries, 1870-2009. Spectral analysis

Arrufat, José Luis; Díaz Cafferata, Alberto Martín; … - Instituto Universitario de Análisis Económico y … - 2011

Spectral analysis is applied to the empirical identification of terms of trade cycles, in the secular evolution, 1870-2009, of a group of extreme-landabundant countries: Argentina, Australia, Canada, New Zealand, and Uruguay. Estimates of the power density spectrum functions produce...

Persistent link: https://www.econbiz.de/10010703336

The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, Sanvi; Idier, Julien - Université Paris-Dauphine (Paris IX) - 2012

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

Persistent link: https://www.econbiz.de/10010706618

Liquidity and volatility in the American crude oil futures market

Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004

on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …

Persistent link: https://www.econbiz.de/10010707195

Quelle est l'influence des interruptions de cotation sur la microstructure du marché boursier français ? Une analyse intraquotidienne en termes de rentabilité, volatilité et volume

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2004

The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the trading halts on the French stock exchange market. We proceed to a detailed...

Persistent link: https://www.econbiz.de/10010707290

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …

Persistent link: https://www.econbiz.de/10010707372

Volatilité et liquidité sur le marché du pétrole brut

Lautier, Delphine; Riva, Fabrice - Université Paris-Dauphine (Paris IX) - 2004

Persistent link: https://www.econbiz.de/10010707405

Liquidity and volatility in the American crude oil futures market

Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004

Persistent link: https://www.econbiz.de/10010707550