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1.
This article examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases of business cycle. Using standard four-factor model, it records a significant average marginal effect of credit rating announcements on stock market returns. Both magnitude and significance of the effect vary with business cycle and across announcement types. However, we do not find evidence of pro-cyclical effect of sovereign rating and outlook changes on stock returns. Our results show that stock markets react more negatively to rating downgrades in recovery phases and more positively to rating upgrades in contractionary period. Both results are statistically significant and robust to various sensitivity tests. 相似文献
2.
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
3.
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
4.
This study finds strong empirical evidence in favour of the hypothesis that the age composition of population matters for labour productivity growth. We applied the fixed effects panel model using data on a large number of countries over the period 1980–2010. Our results suggest that higher age dependency not only directly impacts negatively on labour productivity but also modifies the impact of other determinants of labour productivity. Child dependency has a more adverse effect on labour productivity than old age dependency. We specifically find that the marginal effects of gross capital formation, information and communication improvement, and labour market reforms are significant at lower levels of age dependency. However, the marginal effect of savings on labour productivity is high at a high level of age dependency. The impact of age dependency varies between developed and developing economies. Diversity in the size and nature of age dependency across regions and different income groups help to explain the labour productivity differential across them. 相似文献
5.
Zaghum Umar Choudhry Tanveer Shehzad Aristeidis Samitas 《European Journal of Finance》2019,25(11):994-1011
This paper analyzes the short and long-run demand for traditional financial asset classes in eleven founding eurozone members. Our sample period starts from the introduction of euro till 2017. We calculate the welfare losses stemming from ignoring the demand for domestic and eurozone equities and bonds, for various levels of risk aversion. Our results show that the bonds of eurozone countries are, in general, desirable for short-run only. However, in Ireland, Portugal and Spain the bonds are desirable for both short-run and long-run investment horizons. Stocks exhibit both short-run and long-run desirability for all countries except Greece. The Greek stocks are desirable for short- run only. 相似文献
6.
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
7.
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: |
8.
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
9.
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
10.
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