An Empirical Analysis of the Transmission of Market Movements PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Empirical Analysis of the Transmission of Market Movements PDF full book. Access full book title An Empirical Analysis of the Transmission of Market Movements by Arie Dekker. Download full books in PDF and EPUB format.
Author: Arie Dekker
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 326
Get Book Here
Book Description
Author: Arie Dekker
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 326
Get Book Here
Book Description
Author: Indika Karunanayake
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Jin-Gil Jeong
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 264
Get Book Here
Book Description
Author: Craig Holden
Publisher: Now Publishers
ISBN: 9781601988744
Category : Business & Economics
Languages : en
Pages : 90
Get Book Here
Book Description
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Author: Rajneesh Prakash Verma
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
The paper attempts to investigate the linkage among BRIC nations after the global financial crisis of 2008. Literature indicates that a large number of studies have addressed issues like regional and global market integration of India, integrating the relationship of BRIC nations with other developed economies, but relationship among BRIC nations is far from over. The analysis in the present study has been carried out in two stages. In the first stage, long-run and short-run linkages among BRIC market indices are analyzed using Johansen cointegration method and Sim's Vector Autoregression (VAR) model. In the second stage, the linkages are investigated using a VAR model through Toda and Yamamoto (1995) version of Granger non-causality test and forecasted error variance decomposition as well as impulse response. Investigating the short-run causal relationship among market indices revealed how much of the forecast error variance of NIFTY market return can be explained by exogenous innovation to the other BRIC markets. The results of causality among BRIC stock markets indicate that only Brazilian market has a unidirectional causality on Indian stock market. The findings also suggest that return in Indian stock market (NIFTY) is largely affected by its own innovation, and innovations in other BRIC stock markets do not dominate in the case of Indian stock market.
Author: Shigeyuki Hamori
Publisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
Get Book Here
Book Description
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author: Thierry Foucault
Publisher: Oxford University Press
ISBN: 0197542069
Category : Capital market
Languages : en
Pages : 531
Get Book Here
Book Description
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
Get Book Here
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: Stijn Claessens
Publisher: Springer Science & Business Media
ISBN: 1475733143
Category : Business & Economics
Languages : en
Pages : 461
Get Book Here
Book Description
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451974493
Category : Business & Economics
Languages : en
Pages : 52
Get Book Here
Book Description
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
