Evolutionary Stable Stock Markets [PDF]
SSRN Electronic Journal, 2003 A discrete time stock market model for the time evolution of history-dependent wealth shares of portfolio rules, the price of consumption goods, is studied involved long lived assets and cash with dividends. Evolutionary stable and local stable portfolio rules are described when the market is invaded. Under the assumption of the relative dividend being
Evstigneev, Igor V +2 more
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Saving China's Stock Market [PDF]
SSRN Electronic Journal, 2016 Graduate Institute of International and Development Studies Working Paper ; no.
Huang, Yi, Miao, Jianjun, Wang, Pengfei
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Investigating the Hsiao’s Granger Causality among Returns of 11 World Stock Markets Indexes and Return of Tehran Stock Exchange Index [PDF]
تحقیقات مالی, 2014 In today’s world, markets are no longer under the limitations of a specific location and the importance of this issue is illustrated in effective decision making of economic agents, because the world financial markets are considered often valuable ...
Ali Asghar Anvary Rostamy +2 more
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Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis [PDF]
Panoeconomicus, 2013 This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in
Wang Kuan-Min, Lai Hung-Cheng
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Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets
American Business Review, 2022 This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets.
Chao Ren
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Risk Aversion and Value at Risk in Macroeconomic Assets Portfolio: An Approach of Econophysics [PDF]
مجله توسعه و سرمایه, 2021 Objective: Due to the importance of studing the behavior of asset markets, the risk aversion term and its operational calculation has attracted many researchers. The present study intends to examine this issue by considering a portfolio with three assets
Hashem Zare +2 more
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Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA [PDF]
, 2017 This paper uses GARCH models and daily data to investigate the effect of the Canada – U.S. Free Trade Agreement (CUSFTA) and NAFTA on the volatility of, and the relationship between stock market returns and changes in bilateral exchange rates of the ...
Daelemans, Bram +2 more
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Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries
Financial Innovation, 2023 This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North ...
Walid Mensi +3 more
doaj +1 more source
Impact of Macroeconomic Variables on Stock Return Volatility: Evidence from Sub-Sahara Africa
AFRE (Accounting and Financial Review), 2022 The main purpose of this paper was to investigate the impact of macroeconomic variables on stock market return volatility in Sub-Sahara markets. The study concentrated on three stock markets including Ghana, Nigeria and South Africa using GARCH-X (1,1 ...
Peter Ali +3 more
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Sticky Stock Market Analysts [PDF]
Journal of Risk and Financial Management, 2021 Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the Euro Stoxx 50 (SX5E). We test whether the forecasts prove
Filiz, Ibrahim +8 more
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