Narrow search
Showing 1 - 10 of 580
Cover Image
Integration and contagion in US housing markets
Cotter, John; Gabriel, Stuart; Roll, Richard - Volkswirtschaftliche Fakultät, … - 2011
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal … contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of … California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of …
Persistent link: https://www.econbiz.de/10009367964
Cover Image
Leverage, return, volatility and contagion: Evidence from the portfolio framework
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...
Persistent link: https://www.econbiz.de/10011110266
Cover Image
Deciphering financial contagion in the euro area during the crisis
Tola, Albi; Wälti, Sébastien - Volkswirtschaftliche Fakultät, … - 2012
existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with an innovative narrative approach to separate out global and …
Persistent link: https://www.econbiz.de/10011114307
Cover Image
Market characteristics and chaos dynamics in stock markets: an international comparison
Mattarocci, Gianluca - Volkswirtschaftliche Fakultät, … - 2006
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series. In fact, the Fractal Market Hypothesis assumes that the returns dynamics are not independent of the investors’ attitudes and represent the...
Persistent link: https://www.econbiz.de/10005835468
Cover Image
A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
Marcello, Pericoli; Marco, Taboga - Volkswirtschaftliche Fakultät, … - 2005
We derive a canonical representation for the no-arbitrage discrete-time term structure models with both observable and unobservable state variables, popularized by Ang and Piazzesi (2003). We conduct a specification analysis based on this canonical representation. We show that some of the...
Persistent link: https://www.econbiz.de/10005835484
Cover Image
Stock market volatiltity around national elections
Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz - Volkswirtschaftliche Fakultät, … - 2006
This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an Election Day, which shows that investors are...
Persistent link: https://www.econbiz.de/10005835600
Cover Image
Fixed-income instrument pricing.
ilya, gikhman - Volkswirtschaftliche Fakultät, … - 2006
In this article we discuss the fundamentals of pricing of the popular financial instruments. The basic point of our approach is to extend the present value benchmark concept. The present value valuation approach plays the similar role as The Newton Laws in the Classic Mechanics. Thus our primary...
Persistent link: https://www.econbiz.de/10005835618
Cover Image
Day-of-the-week effects in selected East Asian stock markets
Chia, Ricky Chee-Jiun; Liew, Venus Khim-Sen; Wafa, Syed … - Volkswirtschaftliche Fakultät, … - 2007
This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday and positive Friday effects are detected in the stock markets Taiwan, Singapore and Hong Kong....
Persistent link: https://www.econbiz.de/10005835645
Cover Image
Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...
Persistent link: https://www.econbiz.de/10005835710
Cover Image
Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita
Fernandez, Pablo - Volkswirtschaftliche Fakultät, … - 2009
The equity premium (also called market risk premium, equity risk premium, market premium and risk premium), is one of the most important, discussed but elusive parameters in finance. The term equity premium is used to designate four different concepts (although many times they are mixed):...
Persistent link: https://www.econbiz.de/10005835788