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1.
Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the main stocks of the BRICS and emerging markets. We considered the period from 2000 to 2015 and observed different combinations of moving average strategies and periods. The main results indicate that, for some countries, there is a combination of periods for moving averages producing better outcomes. 相似文献
2.
This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH model and the spillover index developed by Diebold and Yilmaz (2014, 2016) to examine the spillovers between those metal prices and the exchange rates and design portfolios and hedging strategies using different risk measures. The results show evidence of weak average conditional equicorrelations among the considered markets over time, excluding the turbulent 2008–2010 period. Furthermore, the precious metals (excluding platinum) and the currencies (with the exception of the Australian, Brazilian, Denmark, Euro, Mexican, Norwegian, New Zealand and Swedish currencies) are net receivers of shocks. Finally, the four precious metals provide strong risk and downside risk reductions, underscoring the usefulness of including precious metals in a traditional foreign exchange-dominated portfolio. 相似文献
3.
This study carries out investigation of technical analysis and Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR trading rules (more specifically SentimentWORLD-TAR) have better predictive power than technical trading rule, the magnitude of predictability is shown to vary with sectors. Robustness of results is further verified by in- and out-of-sample test and bootstrap analysis. As expected, the inclusion of transaction costs eliminates the trading profits for the majority of the trading rules. Nevertheless, results reveal that investors can gain substantially by combining Sentiment-TAR and TRB rules and by investing in certain sectors. 相似文献
4.
《International Journal of Forecasting》2023,39(1):178-191
This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, the paper applies an excessive out-of-sample analysis in different subperiods across all TTRs examined. For commodity spreads, the evidence of significant predictability appears much stronger compared to equity and currency spreads. Out-of-sample performance of portfolios of significant rules typically exceeds transaction cost estimates and generates a Sharpe ratio of 3.67 in 2016. In general, we reject previous studies’ evidence of a uniformly monotonic downward trend in the selection of predictive TTRs over 1990–2016. 相似文献
5.
This study systemically analyzes the dynamics of interdependence between the Asian equity and currency markets. The novelty of our study is that unlike other studies that explore either co-movements among equity markets or co-movements among currency markets, we pay particular attention to the interdependence between the two in terms of both return and volatility connectedness. We find that the contribution of crossspillovers between the Asian equities and currencies is substantial for the region-wide connectedness of both the returns and volatilities. We also find that the short-term spillovers are far more important for the return spillovers, while the long-term spillovers are far more important for the volatility spillovers, presumably reflecting the long-lasting effects of volatility shocks. All the results consistently underline the pivotal role of cross-interdependence between equity and currency markets, both as channels for integrating Asian financial markets and as sources of financial contagion across these markets. Our findings will provide useful guidance for portfolio risk management to adopt better hedging strategies for foreign exchange risks involved in the international investment of Asian equities. 相似文献
6.
Hung Trong Hoang Sally Rao Hill Susan Freeman Vinh Nhat Lu Brian C. Imrie 《International Journal of Human Resource Management》2017,28(4):627-656
While research on drivers of service climate has focused on organisational resources and human resource practices such as training, employee autonomy and inter-departmental support, how these resources interrelate and influence service climate has not been examined, especially in the context of smaller Asian emerging market. Drawing on the resource-based view and its extension on dynamic capability, and social exchange theory, this qualitative study investigates how local and foreign firms in smaller Asian emerging markets create a favourable service climate. Our findings suggest three inter-related groups of factors that influence service climate, namely firm-based, market-based and culture-based drivers. Notably, foreign service firms perform better than their local counterparts in several firm-based drivers (e.g. service-oriented human resource management practices, work facilitation resources). Our study proposes a conceptual framework that integrates inter-relationships of organisational resource-based factors and explains how internal and external factors drive service climate in firms in smaller Asian emerging markets. 相似文献
7.
《Socio》2017
This paper analyses the regional technical efficiency of Chinese iron and steel industry from 1996 to 2010 by a network DEA procedure, and provides the smoothed bootstrap network DEA strategy for the sensitivity analysis of the efficiency measure to sampling variation of the estimated frontier. Furthermore, the evolution and convergence characteristics of regional technical efficiency are examined by a dynamic regression model based on different regional divisions of China. The empirical results show that there exist significant geographical differences in the technical efficiency of Chinese iron and steel industry. On the one hand, the technical efficiency of the eastern area, the central area and the western area is unbalanced, with a lower efficiency in the west and a higher one in the east. On the other hand, technical efficiency of Central Bohai, Yangtze River Delta and Pearl River Delta economic zones is higher than that of the other economic zones. In addition, the technical efficiency has a significant improvement during the period of the Eleventh Five-Year Plan. Following the convergence notation in economic growth theory, this paper also gives some convergence evidence of the technical efficiency towards the efficient frontier due to the catching-up effect. Finally, this paper explores the determinants of the technical efficiency, and discusses policy implications for Chinese iron and steel industry. 相似文献
8.
This note briefly introduces the symposium on entry and entry barriers in emerging markets edited by Nauro Campos and Saul Estrin. The symposium contains four inter-related case studies focusing in depth on the relationship between entry of new firms and institutional arrangements in four major emerging markets: Brazil, China, India and Russia. We find that entry rates are not necessarily low in emerging markets, and that institutional quality is a complex and “fuzzy” notion so that its impact on the entry process is not straightforward. 相似文献
9.
This study explores the impact of changes occurring in financial markets on national sovereignty. Sovereignty involves both the authority to rule and the capacity to exercise this rule. Changes now occurring in financial markets and their most important institution, banks, present challenges to sovereignty. Domestic challenges include consolidation, conglomeration, automation, reduction of government banking, disintermediation, and the development of risk transfer markets and mechanisms. International challenges include freeing capital inflows and outflows, foreign control of financial service institutions, regional and supranational economic integration, and the abandonment of national currencies. These often create a web of obligations that may compromise national sovereignty. While sovereignty may not be viewed as absolute in terms of national priorities, and may be in a constant state of negotiation, it is a measure of national strength. Its infringement may produce resentments and dissatisfactions among international agents and within national political structure and render a toll on national growth and development. 相似文献
10.
11.
Nikiforos T. Laopodis 《Journal of Economics and Finance》2008,32(3):271-293
This paper seeks to empirically determine whether feedback trading strategies result in stabilization or destabilization in
the foreign exchange market and if such strategies are a distinctive characteristic of an emerging economy or they are a common
element to both developed and emerging economies. These hypotheses are tested via the use of a feedback model augmented with
a generalized autoregressive conditional heteroskedasticity (GARCH) process for modeling the errors. The results suggest presence
of both positive and negative feedback trading and asymmetric behavior in both types of economies. Irrespective of the nature
of feedback trading, presence of asymmetric behavior implies that market traders rely on central banks to intervene so they
can realize short-term profits. Finally, in cases of a positive first-order autoregressive parameter presence of the bandwagon
effect is implied, whereby past currency movements are followed by expectations of currency movements in the same direction.
相似文献
Nikiforos T. LaopodisEmail: |
12.
《Economic Systems》2015,39(4):592-607
This paper investigates whether the deviation of a currency from its fundamentally determined rate of return affects the relationship between interest rates and stock market yields. A time-varying transition probability, the Markov-switching vector autoregressive (MS-VAR) model, is utilized for this purpose. Wald and likelihood ratio tests are computed and used as model adequacy measures. In order to analyze the link between the variables, impulse–response functions are employed. A sticky price exchange rate model is used to show the fundamentally determined rate of return of currencies. States are defined as either overvalued or undervalued, depending on the position of the observed exchange rate compared to its fundamentally determined rate. The model is applied to four major currencies: the Australian Dollar, the Canadian Dollar, the Japanese Yen, and the British Pound. Transition between the states is linked to the risk-adjusted excess return (the Sharpe ratio) of the debt and equity markets of the respective currencies in order to understand whether over- and undervaluation is connected to the returns in these markets. The results provide evidence that the relationship between economic fundamentals and nominal exchange rates are subject to change depending on the over- or undervaluation of the currencies relative to their fundamentally determined rate of return. An extension of this result shows that the Sharpe ratios of debt and equity investments in the currencies influence the evolution of the transitional dynamics of the exchange rates’ deviation from their fundamental values. 相似文献
13.
This paper empirically investigates the international equity market causal links between Central and South-Eastern Europe, on the one hand, and developed countries (Western Europe and the United States), on the other hand, over the monthly sample period spanning from October 2000 to September 2012. Unlike previous studies, we use the pooled mean group (PMG) approach of Pesaran et al. (1999), which is suitable to estimate dynamic heterogeneous panels to draw reliable conclusions. After cointegration is found between the stock markets of interest, the PMG estimates show evidence of each market's sensitivity to the fluctuations of the other markets over both the short- and long-run, supporting the feedback hypothesis. The impact of developed markets on emerging markets is more important than that of emerging markets on developed markets and the bidirectional impact is higher between emerging and Western European markets than between these emerging markets and the United States. These conclusions are robust to an alternative specification, which supports the view that the stock markets are closely interlinked. The findings are of great interest and have important implications for policy makers, investors, and practitioners. 相似文献
14.
This paper sheds light on the link between the interest rate policy in large advanced economies with international funding and reserve currencies (the United States and the euro area) and the use of reserve requirements in emerging markets. Using reserve requirement data for 28 emerging markets from 1998 to 2012, we provide evidence that emerging market central banks tend to raise reserve requirements when interest rates in international funding markets decline or financial inflows accelerate, most likely to preserve financial stability. In contrast, when global liquidity risk rises and funding from the large advanced economies dries up, emerging markets lower reserve requirements. 相似文献
15.
This article explores the role of credit-based variables as early warning indicators (EWIs) of banking crises in the context of emerging economies. We collect data on bank and total credit to the private sector in emerging markets and evaluate the signalling performance by using the area under the receiver operating characteristics (ROC) curve (AUC). Our results show that nominal credit growth and the change in the credit-to-GDP ratio have the best signalling properties and significantly outperform the credit-to-GDP gap in almost all specifications for policy-relevant horizons. These findings are in stark contrast with the results on advanced economies, where the credit-to-GDP gap is the single best performing EWI. Our results emphasize the importance of caution when applying statistical methods calibrated for advanced markets to emerging economies. 相似文献
16.
Sanna-Mari Hynninen 《Journal of Productivity Analysis》2009,31(1):15-26
This paper investigates the technical efficiency of labor market matching from a stochastic frontier approach. The true fixed-effects
model (Greene J Prod Anal 23:7–32, 2005a; J Econom 126:269–303, 2005b) is utilised in order to separate cross-sectional heterogeneity from inefficiency, and inefficiency terms are modelled following
Battese and Coelli (Empir Econ 20:325–332, 1995). The data set consists of almost 17,000 observations from Local Labor Offices (LLOs) in Finland. According to the results,
there are notable differences in matching efficiency between regions, and these differences contribute significantly to the
number of filled vacancies. If all regions were as efficient as the most efficient one, the number of total matches per month
would increase by over 23%. The heterogeneity of the job-seeker stock is an important determinant of matching efficiency:
the weight of the composition of the job-seeker stock in the inefficiency terms is on average 85%.
相似文献
Sanna-Mari HynninenEmail: |
17.
Technical efficiency analysis is a fundamental tool to measure the performance of production activity. Recently, an increasing interest in the state-contingent approach has emerged in the literature although such interest has not yet been accompanied by an increase of empirical applications. This is largely due to the fact that empirical models with state-contingent production frontiers are usually ill-posed. In this work, a discussion on the role of the generalized cross-entropy estimator within the state-contingent production framework is presented. To the best of the authors’ knowledge, the example provided in this work is the first real-world empirical application on technical efficiency analysis with the state-contingent approach using the generalized cross-entropy estimator. 相似文献
18.
Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-global financial crisis period. We develop a two-factor pricing model with closed-form solutions for the sovereign bonds in which the correlated factors are foreign exchange rates and US risk-free interest rates that follow a double square-root process relevant in the low interest rate environment. The numerical results and associated error analysis show that the model credit spreads can broadly track the market credit spreads. 相似文献
19.
In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the associated economic gains in relation to the subject in order to offer more useful insights to investors and practitioners. To the best of our knowledge, this is the first study that jointly considers these objectives. Consequently, we employ the GARCH-MIDAS framework which accommodates mixed data frequencies thereby circumventing information loss or any associated bias. We find that emerging stock market volatility responds more positively to geopolitical risks although the act-related GPR index offers better out-of-sample forecasts than the threat-related GPR. We also find that accounting for global economic factors in the predictability analysis is crucial for robust outcomes. Finally, we provide some utility gains of including GPR in the predictive model of stock market volatility while also highlighting some useful implications of our findings for investment and policy decisions. 相似文献
20.
We examine directional predictability in foreign exchange markets using a model‐free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major currencies, we document strong evidence that the directions of foreign exchange returns are predictable not only by the past history of foreign exchange returns, but also the past history of interest rate differentials, suggesting that the latter can be a useful predictor of the directions of future foreign exchange rates. This evidence becomes stronger when the direction of larger changes is considered. We further document that despite the weak conditional mean dynamics of foreign exchange returns, directional predictability can be explained by strong dependence derived from higher‐order conditional moments such as the volatility, skewness and kurtosis of past foreign exchange returns. Moreover, the conditional mean dynamics of interest rate differentials contributes significantly to directional predictability. We also examine the co‐movements between two foreign exchange rates, particularly the co‐movements of joint large changes. There exists strong evidence that the directions of joint changes are predictable using past foreign exchange returns and interest rate differentials. Furthermore, both individual currency returns and interest rate differentials are also useful in predicting the directions of joint changes. Several sources can explain this directional predictability of joint changes, including the level and volatility of underlying currency returns. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献