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Influence of frontier capital markets interdependence and efficiency on shaping investment strategy under the financial crisis conditions

Bećirović, Damir; Kozarević, Emira - In: Economic review : journal of economics & business 16 (2018) 1, pp. 83-96

This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital...

Persistent link: https://www.econbiz.de/10012012598

Islamic capital market integration and asymmetric information: a study in the five ASEAN countries from the post-global financial crisis

Qizam, Ibnu - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 22 (2021) 1, pp. 121-132

This study aims at examining the integration impact of the five ASEAN Islamic capital markets on asymmetric information for ASEAN Economic Community (AEC) development. Utilizing samples of market and financial panel data from 2009 to 2015 among the five ASEAN Islamic capital markets, and...

Persistent link: https://www.econbiz.de/10012503437

Measuring global financial market stresses

Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020

We propose measures of ﬁnancial market stress for forty-six countries and regions across the world. Our measures … wake of the COVID-19 pandemic. However, hardly anywhere in the world did these March peaks in ﬁnancial stresses reach those … for the near-term economic outlook across most parts of the world, with the exception of China. A structural Bayesian VAR …

Persistent link: https://www.econbiz.de/10012268021

Financial transaction taxes and the informational efficiency of financial markets : a structural estimation

Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2019

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...

Persistent link: https://www.econbiz.de/10011966499

Financial transaction taxes and the informational efficiency of financial markets: a structural estimation

Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2021

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of sixty New York Stock...

Persistent link: https://www.econbiz.de/10012695634

Foreign Exchange Market Efficiency and the Global Financial Crisis : Fundamental versus Technical Information

Yamani, Ehab Abdel-Tawab - 2020

This paper examines whether the 20072008 global financial crisis (GFC) played any role in changing the state of efficiency for the foreign exchange markets. For comparison purposes, I assess market efficiency based on the forward unbiasedness hypothesis (FUH) as well as the profitability of...

Persistent link: https://www.econbiz.de/10012850147

Revisiting Weak Form Efficiency of Major Equity Markets in Light of Global Financial Crisis : A Panel Data Approach

Singh, Pardeep - 2015

In a one of its kind study on the subject, weak form efficient market hypothesis (EMH) and Samuelson's dictum has been analyzed for seven major developed (Australia, Canada, France, Germany, Japan, UK and USA) and developing markets (Argentina, Brazil, China, India, Mexico, Russia and South...

Persistent link: https://www.econbiz.de/10013009693

Financial Crises in Efficient Markets : How Fundamentalists Fuel Volatility

Szafarz, Ariane - 2010

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term...

Persistent link: https://www.econbiz.de/10013137259

Financial Crises in Efficient Markets : How Fundamentalists Fuel Volatility

Szafarz, Ariane - 2017

Persistent link: https://www.econbiz.de/10012975801

Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last seconds and reach a few basis points. After the...

Persistent link: https://www.econbiz.de/10010407205