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An analysis of objective inflation expectations and inflation risk premia
Cecchetti, Sara; Grasso, Adriana; Pericoli, Marcello - 2022
We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging … inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average … inflation and time-varying inflation volatility and we anchor market-based risk-adjusted measures of expected inflation to …
Persistent link: https://www.econbiz.de/10014235921
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Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
Girardin, Eric; Joyeux, Roselyne - In: Economic Modelling 34 (2013) C, pp. 59-68
their volatility played an increasing role in the A-share market, especially CPI inflation, at the expense of speculative …
Persistent link: https://www.econbiz.de/10010709340
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Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
Dewandaru, Ginanjar; Rizvi, Syed Aun R.; Masih, Rumi; … - In: Economic Systems 38 (2014) 4, pp. 553-571
This study examines market co-movements in Islamic and mainstream equity markets across different regions in order to discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the multi-horizon nature of co-movement, we find that...
Persistent link: https://www.econbiz.de/10011115994
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Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis
Masih, Mansur; Majid, Hamdan Abdul - Volkswirtschaftliche Fakultät, … - 2013
This study accounts for the time-varying pattern of price shock transmission, exploring stock market co-movements using continuous wavelet coherency methodology to find the correlation analysis between stock market indices of Malaysia, Thailand (Asian), Greece (Europe) and United States, in the...
Persistent link: https://www.econbiz.de/10011109085
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Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
This study is the first attempt to investigate the relationship between firm’s leverage and systematic risk for seven European countries in relation to Shari’ah (Islamic) stock screening. This paper also aims to examine the shock transmission through the systematic risk and whether less debt...
Persistent link: https://www.econbiz.de/10011109107
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Causality between Malaysian Islamic Stock Market and Macroeconomic Variables
Naseri, Marjan; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
variables such as, inflation rate, aggregate money supply and exchange rate will help enhance Islamic stock market in Malaysia. …
Persistent link: https://www.econbiz.de/10011109373
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Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
Dewandaru, Ginanjar; Alaoui, Abdelkader; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2013
Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former tends to demonstrate financial stability and resiliency, the latter has played an important role for stock market development. This paper attempts to investigate the co-movements,...
Persistent link: https://www.econbiz.de/10011110107
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Leverage versus volatility: Evidence from the Capital Structure of European Firms
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
The capital structure theory advocates a mix between debt and equity to optimize a firm‘s value (Modigliani & Miller, 1958). However, Islamic finance recognizes more conservative levels of debt for firms, based not on capital structure, but on debt to total assets or debt to market...
Persistent link: https://www.econbiz.de/10011110302
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Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis
Masih, Mansur; Majid, Hamdan Abdul - Volkswirtschaftliche Fakultät, … - 2013
As an investor, we are interested in the relationship between economic and financial indicators. For this, for the investor, it is of utmost importance to identify the correct model for the long run and short run relationship, as this will determine the timing of entering and exiting the stock...
Persistent link: https://www.econbiz.de/10011110876
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Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia
Kabir, Sarkar Humayun; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
How does the extent of integration of the Malaysian equity market with the equity markets of Japan and USA vary at different time scales? How dynamic is the extent of co-movement of equity price with the major macroeconomic indicators of Malaysia? In order to answer these two major issues, this...
Persistent link: https://www.econbiz.de/10011112605