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This paper examines whether the emerging Gulf markets of Saudi Arabia and Bahrain in conjunction with the US market exhibit cointegrating relationship. Additionally, the transmission of information and volatility spillover between the Gulf markets is explored using a bivariate EGARCH model. We find that although the markets are not cointegrated, the Gulf markets do share information flows. Specifically, we observe an asymmetric spillover of volatility from the smaller though more liberal and accessible Bahraini market to the larger and less accessible Saudi market. The observed difference in information processing may partly be due to a well-developed Bahraini financial sector that encourages wider participation by international investors who play a significant role in assimilating new information. 相似文献
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Inferences drawn from tests of market efficiency are rendered imprecise in the presence of infrequent trading. As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the three emerging Gulf markets examined in this paper, correction for infrequent trading significantly alters the results of market efficiency and random walk tests. The Beveridge–Nelson (1981) decomposition of index returns is done to estimate the underlying index. 相似文献
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Pu Liu Fazal J. Seyyed & Stanley D. Smith 《Journal of Business Finance & Accounting》1999,26(3-4):337-363
On April 26, 1982, Moody's Investors Service refined its rating system for the first time in its seventy-three year rating history. We examine the information content of the rating refinement in the study. We find a statistically significant change in the yields on bonds whose ratings were downgraded. The detection of the impact of refinement on bond prices implies that rating agencies perform an important function in financial markets, that is they provide information to investors. 相似文献
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Maryam Charkhchian Seyyed Abdolhadi Daneshpour 《Review of urban and regional development studies : RURDS : journal of the Applied Regional Conference》2009,21(1):14-36
A place is generally identified by its varying physical, activity, social and meaning (connotative) characteristics. In this paper, the "Model of Responsive Public Space" is defined by these four aspects and each of them has its own special indicators as shown in previous studies on this subject. To examine this model and evaluate the interactions between these dimensions, experimental studies were carried out in two stages. In the first stage, open-ended structured interviews were carried out with 70 participants to adjust the model with personal opinions about public spaces in Qazvin city, Iran. In the second stage a questionnaire was used to explore the effect of the four dimensions on each other. 598 users of a selected public space participated in this study. The results were analyzed by SPSS software applying a Pearson correlation test and Excel software. These results indicate that not only in theory but also in practice, public spaces have four distinct aspects that must be taken into consideration when creating a responsive public space. The most significance correlation is that between the meaning and the social dimension of public spaces. 相似文献
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Seasonality in stock returns and volatility: The Ramadan effect 总被引:1,自引:1,他引:0
Fazal J. Seyyed Abraham Abraham Mohsen Al-Hajji 《Research in International Business and Finance》2005,19(3):374-383
Calendar anomalies in stock returns are well documented. Less obvious is the existence of seasonality in return volatility associated with moving calendar events such as the Muslim holy month of Ramadan. Using a GARCH specification and data for the Saudi Arabian stock market – now the largest stock market in the Muslim world – this paper documents a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be consistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities especially option-like products and asset allocation decisions by investors in the Islamic countries. 相似文献
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