Is the imprecision of economic forecasts due to the judgements of biased decision makers? This study explores decision making among expert forecasters in Sweden using semistructured interviews. The results indicate that forecasters' decision processes are characterised by intuitive, as well as...

Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions. We discuss the central role of the loss function in helping determine the forecaster's objectives and use this to present a unified...

This paper examines the time-varying behaviour of beta risk and degree of volatility persistence in the daily stock returns of 30 industry portfolios consisting of firms from the NYSE, AMEX and NASDAQ stock exchanges. Using an exponential ARCH (EGARCH) for this purpose, it further examines the...

This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the classical mean-variance method. We apply two approaches:...

Many surveys analyse the volatility of stock market indexes, omitting the role of individual stocks in that phenomenon. In the present study, we focus on that part of the market, using financial and market data from listed firms in the Athens Stock Exchange (ASE) index in several crashes, during...

Initially, voting rights were limited to wealthy elites providing political support for stock markets. The franchise expansion induces the median voter to provide political support for banking development as this new electorate has lower financial holdings and benefits less from the uncertainty...

In this article, we use the dual long memory properties to assess the value-at-risk and expected shortfall for the Argentinean stock market under both short and long daily trading positions. We attempt to show whether considering for long memory properties in both the returns and volatility,...

The purchase of Hang Seng Index component stocks by the Hong Kong government has an immediate effect of reducing the daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market. However, once we account for the effect of a decline in...

This paper examines the degree to which four emerging stock markets in the Arab Gulf countries (Bahrain, Kuwait, Oman and Saudi Arabia) are regionally linked and the implications of this on portfolio diversification and hedging strategies. We find that conditional heteroscedasticity is present...

We investigate how the relative contribution of external factors to stock price movements varies with the degree of financial development. We find that financial development makes stock markets more susceptible to external influences (both financial and macroeconomic). Interestingly, this effect...