Results 41 to 50 of about 3,614,788 (171)

Forecasting BDI Sea Freight Shipment Cost, VIX Investor Sentiment and MSCI Global Stock Market Indicator Indices: LSTAR-GARCH and LSTAR-APGARCH Models

Mathematics, 2023
Prediction of the economy in global markets is of crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness in modeling and forecasting the directions of such leading indicators is of crucial importance.
Melike Bildirici, Işıl Şahin Onat, Özgür Ömer Ersin   +2 more
doaj   +1 more source

Household Consumption Intentions by Income Group During Monetary Policy Easing and Tightening

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate how the monetary policy interest rate affects Brazilian households' consumption intentions under two distinct regimes: monetary easing and tightening cycles. Using data from low‐ and high‐income households, we assess both the magnitude and the dynamics of this relationship.
Helder Ferreira de Mendonça, Daniel Pereira dos Anjos   +1 more
wiley   +1 more source

The Rise and Fall of S&P500 Variance Futures [PDF]

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures.
Michael McAleer, Teodosio Pérez-Amaral, Juan-Angel Jimenez-Martin, Chia-Lin Chang   +3 more
core   +2 more sources

Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]

Türkiye İslam İktisadı Dergisi
Integration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz, Arif Arifoğlu, Tuğrul Kandemir   +2 more
doaj   +1 more source

The Sector Liquidity Timing Ability of Bond Mutual Funds

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate whether bond mutual fund managers exhibit market liquidity timing skills in the U.S. corporate bond market. At the portfolio level, we find only weak evidence that bond funds adjust their overall market exposure in anticipation of changes in corporate bond market liquidity.
Zhengnan Yin, Niall O'Sullivan, Meadhbh Sherman, Yuting Chen   +3 more
wiley   +1 more source

Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations

International Journal of Finance &Economics, EarlyView.
ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein, Gabriella D. Legrenzi, Scott M. R. Mahadeo   +2 more
wiley   +1 more source

Stock Price Deviations From Fundamentals Levels: Mis‐Valuation due to Investor Overconfidence?

International Journal of Finance &Economics, EarlyView.
ABSTRACT We use the Residual Income Valuation Model to obtain fundamental values for sample stocks in six Eurozone markets. We then estimate the deviation between the fundamental values and actual stock prices. Subsequently, we examine whether these deviations can be systematically explained by business cycle trends, trends in local economic sentiment,
Stella N. Spilioti, Andrianos E. Tsekrekos   +1 more
wiley   +1 more source

The Effects of Monetary Policy in the United Kingdom: New Evidence From SONIA Market Responses

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper constructs a new measure of the UK monetary policy instrument (MPI) using daily changes in the sterling overnight index average (SONIA) around Bank of England policy events from June 1997 to August 2025. The instrument explicitly accounts for pre‐event information and unconventional monetary policy (UMP) using lagged macro‐financial
Ayobami E. Ilori, Lucia M. Murgia
wiley   +1 more source

Modeling the Nexus Between Climate Risk, Energy Consumption, and Financial Market Performance in Emerging Countries

International Studies of Economics, EarlyView.
Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley   +1 more source

Does Market Fear Forecast U.S. Economic Activity During the COVID-19 Crisis? Evidence from Time-Varying Asymmetric Causality and Wavelet Quantile Correlation Models

Journal of Statistical Theory and Applications (JSTA)
This study examines whether past values of the Chicago Board Options Exchange’s (CBOE)’s volatility/investor fear index (VIX), can forecast the future values of US weekly economic activity (WEA) index over the initial 59 weeks of the COVID-19 pandemic ...
Walid Bakry
doaj   +1 more source