Results 61 to 70 of about 5,603 (270)
American Business ReviewThis paper investigates the evolving behavior of calendar anomalies (monthly effects) within the Portuguese stock market over a period spanning approximately 120 years.
Júlio Lobão, Ana C. Costa
doaj +1 more source
Conventional Vs. Islamic Finance: the Impact of Ramadan Upon Sharia-compliant Markets
Organizations and Markets in Emerging Economies, 2014 The Islamic financial industry is growing at a rate 50% faster than that of conventional banking and is expected to be worth USD 2.1 trillion by the end of 2014.
Matthew C. Mitchell +3 more
doaj +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks.
Thomas Conlon +3 more
wiley +1 more source
January effect on stock returns: Evidence from emerging Balkan equity markets [PDF]
Industrija, 2017 The motivation for testing anomalies in the selected financial markets in the region was primarily to help investors to devise a viable investment strategy.
Milošević-Avdalović Snežana +1 more
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The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact
Journal of Futures Markets, EarlyView.ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel +2 more
wiley +1 more source
Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas
Jurnal Ekonomi dan Bisnis, 2016 One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market return during trading years.
Robiyanto Robiyanto
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On the Evolution of the Stock Market Efficiency: Evidence From Emerging Markets
International Studies of Economics, EarlyView.ABSTRACT The study of market efficiency is one of the most covered topics in the field of financial markets, with the Efficient Market Hypothesis gathering devotees as well as several critics. The perception of markets as agents with an adaptive nature gave rise to the Adaptive Market Hypothesis (AMH).
Júlio Lobão, Luís Pacheco, Nuno Cruz
wiley +1 more source
The Extended Holiday Effects on Bucharest Stock Exchange during Coronavirus Pandemic [PDF]
Risk in Contemporary Economy, 2021 In the recent times, the Coronavirus Pandemic substantially influenced the financial markets. Such influence includes the transformations experienced by some calendar anomalies. This paper investigates the Extended Holiday Effects presence on the returns
Stefanescu Razvan, Dumitriu Ramona
doaj
Journal of Applied Econometrics, EarlyView.ABSTRACT We introduce EA‐MD‐QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA‐MD‐QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA ...
Matteo Barigozzi +2 more
wiley +1 more source
Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets [PDF]
To challenge the appropriateness of the theory of the weak-form market efficiency, this study examines the day-of-the-week effect and the twist-of-the-Monday effect for the ASEAN – 5 stock markets for the period June 10, 2002 through August 21, 2009. Our
Ricky Chee-Jiun Chia, Shiok Ye Lim
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