Search results for "stock"
showing 10 items of 878 documents
Stock market information and the relationship between real exchange rate and real interest rates
2013
In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent monthly observations from the U.K., Japan, Canada and Eurozone, all relative to the U.S. We show that the introduction of stock market information is highly relevant for the functioning of the RERI hypothesis. Based on the results from the cointegration analysis the role of relative stock market performance is especially important in the short- term (3 month) horizon, where the augmented RERI represent…
Democracy, political risks and stock market performance
2015
We study whether the emerging stock markets’ performance is affected by direct and indirect effects of democracy level and political risk. We argue that the relationship between democracy level and the political risk is parabolic instead of a simple linear relation i.e. there exists a limit in democracy after which the political risk begins to decline and this is reflected in stock prices. Using panel data for 38 emerging markets at yearly frequency and controlling for several domestic and international factors, we find a fairly robust evidence that during the period 2000-2010, this relationship is true and after some threshold, the more democratic countries produce higher returns. Similar …
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
2010
In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…
ESCAPE TIMES IN STOCK MARKETS
2005
We study the statistical properties of escape times for stock price returns in the Wall Street market. In particular we get the escape time distribution for real data from daily transactions and for three models: (i) the Wiener process with drift and a constant market volatility, (ii) Heston and (iii) GARCH models, where the volatility is a stochastic process. We find that the first model is unable to catch all the features of the escape time distribution of real data. Moreover, the Heston model describes the probability density function for both return and escape times better than the GARCH model.
Akciju tirgus ietekme uz ekonomiku. Specifika un attīstības tendencies.
2021
Promocijas darbā tiek pētīta akciju tirgus ietekme uz ekonomiku S & P 500 indeksa piemērā un makroekonomiskie rādītāji ar pētījumu jautājumu par to, vai akciju tirgu var uztvert kā vienu no vadošajiem ekonomikas barometriem. Teorija novēroja pieejamo literatūru par akciju tirgus darbību, tās līdzīgo attīstību un ekonomiskajiem cikliem, iepriekšējo pētījumu analīzi par akciju tirgus un makroekonomisko rādītāju attiecībām. Analītiskā daļa palīdzēja apkopot ceturkšņa datus starp 2014. -2019. Lai gan empīriskā daļa noslēdz pētījumu ar statistiskiem aprēķiniem. Tādējādi savukārt reālais iekšzemes kopprodukts (IKP) un patēriņa cenu indekss (PCI) ir spēcīgākie pozitīvi korelētie un statistiski noz…
Emerging Market Contagion Under Geopolitical Uncertainty
2019
We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets. peerReviewed
Forecasting Stock Market Volatility: The Gains from Using Intraday Data
2016
There is evidence that volatility forecasting models that use intraday data produce superior forecast accuracy as compared with that delivered by the models that use daily data. However, this evidence is still sparse and incomplete in the stock markets. This paper extends previous studies on forecasting stock market volatility in several important directions and comprehensively assesses the gains in forecast accuracy provided by intraday data. First, we use an extensive set of intraday data on 28 single stocks and 23 stock market indices. Second, in our study we use forecast horizons ranging from 1 day to 6 months. Third, we compare forecasting abilities of several competing models. We find…
The determinants of employees’ investments in their company share
2007
Our research is motivated by an observation. Employee Ownership is a form of savings that is becoming moreand more sought after these days. The concentration of the employee savings into employee ownership isbecoming stronger. These evolutions translate into a fact: employees facing a savings menu tend to chooseEmployee Ownership. The high exposure to risk of the employee-shareholders might have some consequence fortheir assets and their job. For companies, the cost of this exposure to risk can also be high. These observationshave led us to wonder about the causes of employees’ investments in their company stock. Thus, this researchtries to answer the question: Which are determinants of emp…
How News Affect the Trading Behavior of Different Categories of Investors in a Financial Market
2012
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic variable based on a sentiment analysis of news. Linear regression and partial correlation analysis of data show that different categories of investors are differently correlated to these factors. Governmental and non profit organizations are weakly sensitive to news and returns or volatility, and, typica…
Projektmanagement als strategisches Instrument im Gründungsprozess einer Bereichsbibliothek
2005
Taking the retro-conversion project Philosophicum at the University of Mainz as an example this article shows how the possibilities of project management can be used as a strategic instrument to promote the delayed development process of the planned faculty library Philosophicum. The first part deals with the specific set-up in Mainz, whilst the second part deals with the essence of the project. The article finishes by taking stock of the current status.