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1.
Firms are increasingly resorting to private placements in recent years, yet there is no published study of emerging markets. There is a unique opportunity to study this behavior during a severe financial crisis, when firms resorted to private placements to recover financially distressed firms. Our analysis using data over fifteen years shows (a) a significant 2–3% positive share price reaction, affirming asymmetric information effect, (b) a significant volume activity, and (c) the price impact is different across a period of a major financial crisis. If the proceeds from placement are earmarked for investment, share price is negatively (positively) correlated during the crisis (non-crisis) periods. Our finding on regulation is inconsistent with prior reports in developed markets: this is explained by the stricter restrictions on trading of private issues in emerging market. These results provide modest new contributions to the literature on private placements. 相似文献
2.
We analyze the relationship of high inflation and interest rates with stock returns in Brazil from May 1986 to May 2011, during which Brazil experienced subperiods of both high inflation (May 1986-June 1994) and relative monetary stability (July 1994-May 2011). The result in the total period is dominated by high inflation volatility, and the findings suggest a bidirectional relationship between stock returns and inflation. During the high-inflation subperiod, interest rates are relevant to explain future changes in inflation and stock returns. Under low inflation, movements in interest rates are better anticipated by equity investors, suggesting higher market efficiency than in high-inflation circumstances. 相似文献
3.
This paper investigates the hedging effectiveness of Australian, Hong Kong, and Japanese stock futures markets. The traditional hedge and the minimum variance hedge ratios are all constant whereas the bivariate GARCH hedge ratio is time varying. The effectiveness of the hedge ratio is compared by investigating the out-of-sample performance of the three ratios. The whole sample consists of weekly returns from January 1990 to December 2000. Two 1-year, out-of-sample periods are used: January 1999 to December 1999 and January 2000 to December 2000. Results show that the time-varying GARCH hedge ratio outperforms the constant ratios in most of the cases. This is true using both out-of-sample periods. 相似文献
4.
Taufiq Choudhry 《Empirical Economics》2008,35(3):607-619
This paper investigates the influence of exchange rate volatility on the real imports of the United Kingdom from Canada, Japan
and New Zealand during the period 1980–2003. The Johansen multivariate cointegration method and the constrained error correction
(general-to-specific) method are applied to study the relationship between real imports and its determinants (including exchange
rate volatility). Conditional variance from the GARCH(1,1) model is applied as exchange rate volatility. Both nominal and
real exchange rates are employed in the empirical study. Results indicate a significant effect of the exchange rate volatility
on real imports. These exchange rate volatility effects are mostly positive.
The author thanks an anonymous referee, the editor and Myles Wallace for several useful comments and suggestions. Any remaining
errors and omissions are the author’s responsibility alone. 相似文献
5.
This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and
floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models,
three factors are identified as important for the demand of international reserves and foreign reserves: average propensity
to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction
method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship
between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and
sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the
reserves during both the short and long run. This is true during both the fixed and the floating periods.
相似文献
Mohammad Hasan (Corresponding author)Email: |
6.
Choudhry Taufiq Dissanaike Gishan Jayasekera Ranadeva Kang Woo-Young Nnadi Matthias 《Review of Quantitative Finance and Accounting》2021,57(4):1345-1371
Review of Quantitative Finance and Accounting - The Hong Kong stock market is known to be highly volatile. Professional investors have a strong demand for timely information because of the... 相似文献
7.
Taufiq Choudhry 《Applied economics》2013,45(8):661-667
This paper provides a study of Argentina's money demand function during 1935–62 and 1946–62. These priods not only involved several important changes in Argentina's economy and banking system but also included high and volatile inflation. Using cointegration tests and error correction moderlling, results shows that even in periods of large variability there exists a stationary long-run demand function for real M1 and real M2 in Argentina. Error Correction models show that there is biddirectional causality between real money stock (M1 and M2) and the rate of inflation in both periods. Real income is found to be exogenous in all relationships. Thus results presented in this paper provide merit to Cagan's form of money demand function during high inflation periods. 相似文献
8.
Taufiq Choudhry 《Journal of International Money and Finance》1996,15(6):969-981
This paper studies volatility, risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash. The empirical investigation is conducted by means of the GARCH in the mean model (GARCH-M) and monthly data from Argentina, Greece, India, Mexico, Thailand, and Zimbabwe between January of 1976 and August of 1994. Results indicate changes in the ARCH parameter, risk premia and persistence of volatility before and after the 1987 crash. But these noted changes are not uniform and depend upon the individual markets. Factors other than the 1987 crash may also be responsible for the changes. 相似文献
9.
Taufiq Choudhry 《International Review of Financial Analysis》2009,18(1-2):58-65
This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. Futures data for corn, coffee, wheat, sugar, soybeans, live cattle and hogs are applied. Comparison of the hedging effectiveness is done for the within sample period (1980–2004), and two out-of-sample periods (2002–2004 and 2003–2004). Results indicate superior performance of the portfolios based on the GARCH-X model estimated hedge ratio during all periods. 相似文献
10.
Bayu Taufiq Possumah Abdul Ghafar Ismail Shahida Shahimi 《Journal of Business Ethics》2013,112(2):257-270
Religion and work are seldom discussed. The two have caused scholars to question the religion’s role with work. This paper reviews research on the integrate between religion and work by examining issues of concept, definition, measurement, and reviewing research that examines the relationship of work and religion with respect to: different times, types of people, organize human interactions and sources of knowledge. We then discuss the methodological requirement for reintegrating work studies into social institutional theory and indicate what the conceptual payoffs of such integration might be. These payoffs include breaking new conceptual ground, resolving theoretical puzzles and envisioning the nature of new social institutions 相似文献