Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Size: px
Start display at page:

Download "Cointegration Analysis of Exchange Rate in Foreign Exchange Market"

Transcription

1 Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, Absrac: This paper educed ha he series of exchange raes prices show heir firs-order difference saionary by he uni roo es. On he basis of he resul of uni roo es, we focuses on he issue of empirical analysis of coinegraion relaionship wih hese exchange raes, and find ou ha here is o exis long-erm sabiliy relaionships wih hem. The paper adops hisorical daa of daily closing prices of CAD/USD,GBP/USD, CF/USD currencies and carries ou uni roo es and coinegraion es. The empirical resul shows here is o exis coinegraion relaionship among he currencies, and here is o exis long-erm sabiliy relaionship. This means ha economy in he hree counries has a very close relaionship wih American economy. The sudy will benefi invesors o make decision on heir porfolio and o effecively avoid risk. Key words: Coinegraion analysis, Foreign exchange marke, Exchange Raes, Uni roo es Inroducion The correlaion of wo arbirary reurn series is impossible o exis if he wo series can be wihou relaionship. owever, he correlaion coefficien of he wo series can be go by measure formula. In fac, he correlaion coefficien is of no significance, moreover, he relaiviy is very insabiliy in he siuaion. The esimae of relaiviy has significance under he condiion ha he differen kinds of exchange raes have he long-erm sabiliy relaionship. Now he maor banks in China pu ino operaion he FX opions whose currencies based on dollars are he developed indusrialized counries. So he paper inroduces Coinegraion Theory (Engle & Granger, 987) o research coinegraion relaionship abou he several indusrialized counries currencies in order o find wheher hey have he long-erm sabiliy relaionship. Because he coinegraion relaionship can be depiced ino same rend, he sysem exiss long-erm sabiliy relaionship if he coinegraion relaionship of sysem Consising of several variables holds. And o esimae correlaion coefficien of reurn series is has significance only exising he long-erm sabiliy relaionship. Then his can benefi invesors o make decision on heir porfolio and o effecively avoid risk. Some scholar sudied he coinegraion problem of exchange raes of he maor developed indusrialized counries (akkio & Rush, Baillie & Bollerslev, Diebold, 99, 994, 994), bu heir conclusions are muual conradicion. The paper seleced CAD/USD,GBP/USD, CF/USD currencies in foreign exchange rading marke of home bank and carried hrough coinegraion research o find wheher hey have he long-erm sabiliy relaionship. 2 Research model 2. Uni roo es The precondiion of coinegraion es is ha ime series is insabiliy and has uni roo. So we firs carried ou he uni roo es on ime series of logarihmic price of exchange raes. The mos commonly used mehods of uni roo es are ADF and PP. 2..Augmened Dickey-Fuller uni roo es Dickey & Fuller(979)firsly pu forward DF es on he basis of firs order auoregression, and he expression is in equaion (). y () y As he developmen of DF es,dickey & Fuller (98) pu forward problem of higher order 595

2 ε. And he several lagged erms of y are added ino he equaion series relaion o emend error erm (). The es assumes daa generaion procedure of y is he process of AR(p), is expression of model is in equaion (2). y = + y + y + + y α ρ ξ ξ + ε L p p+ (2) 0 : ρ = 0 A : ρ 0 y has uni roo process of random walk and is insabiliy if null hypohesis comes ino exisence; y is sabiliy if null hypohesis is refused PP non-parameric es PP Non-parameric Tes is pu forward and developed by Philips & Perren in 988, which is a kind of uni roo es wih non-parameric mehod and doesn demand he error erm ε obeys independen idenical disribuion. I solves problem of higher order series relaion o emend error erm by saisic of firs order auoregression coefficien. Considering equaion () of firs-order auoregression process, he es has emended saisic of significance of coefficien ρ in equaion (). And he null ρ = hypohesis is he same as ADF es, i.e., 0, and he series exiss uni roo. Adoping Newey-Wes heeroskedasiciy esimae, he es saisic is / 2 2 q T ρ0 ρ ( ϖ ρ0) TSρ 2 PP = ϖ = ρ0+ 2 ( ) ρ ρ = ˆ ε ˆ ε ϖ 2ϖσ ˆ =, where, q+ T = +,and. ρ S and ρ ρ are respecively es saisic of he coefficien and sandard error. And σˆ is sandard error of esimaion in es equaion. T is ime span of es. q is lagged ails of inercepion. The null hypohesis 0 is acceped when PP is less han he criical value. And he series has uni roo and obeys random walk. Vice versa, he null hypohesis 0 is refused, and he series is no uni roo. 2.2 Coinegraion es The process of uni roo has no long-erm mean and no rend o reurn mean since he process has insabiliy. Is fuure value or presen value depends on all is pas. Thus any is innovaion will produce lasing impac. So one process of uni roo is imposible o describe he long-erm sabiliy relaionship. owever, a sysem consis of several variables having uni roo process, and if one linear combinaion of he variables has saionary, he saionary linear combinaion is named as coinegraion relaionship which describes he long-erm sabiliy relaionship of hese variables and delineaes he saionary characerisic of sysem. Currenly, one linear combinaion consising of he variables having I(d) process can make d decrease, hen he linear combinaion is called coinegraion relaionship. Now coinegraion research based on d= has been evolving since mos ime series of economic I(). And coinegraion relaionship is equivalen o long-erm sabiliy variables have process of relaionship among relaed lieraures abou coinegraion research. The paper adops Johansen coinegraion es, and coinegraion likelihood raio assumes 0 : a mos have r coinegraion relaionships; : have n coinegraion relaionships, i.e., full rank. Traced saisic of es Q r = T n i= r+ log( λ ) i λ, where, i is he ih eigenvalue. In fac, raced es ε 596

3 is exension of DF uni roo es. And alernaive hypohesis indicaes here is no any coinegraion relaionship since coinegraion vecor marix is impossible o be full rank, i.e., here are impossible o exis n coinegraion relaionships in he process of coinegraion es on sysem consising of n series. 3 Empirical analysis Using he above heory, and adoping hisorical daa of closing prices of CAD/USD,GBP/USD, CF/USD currencies and carrying ou uni roo es of logarihmic price of hose exchange raes, hen carrying hrough empirical analysis of coinegraion relaionship o find wheher hese logarihmic price series have long-erm sabiliy relaionship. 3. Daa Sample space adops hisorical daa of daily closing prices of CAD/USD,GBP/USD, CF/USD currencies from January, 999 o Sepember 8, 2003, need 228 observaions of daily closing prices. One currency daily logarihmic reurn is compued by logarihm difference, i.e., ri, = ln Pi, ln Pi, where P i, is closing price a he h rade day. 3.2 The resul of coinegraion es on exchange raes 3.2. The resul of uni roo es on logarihmic prices of exchange raes Three logarihmic prices series of CAD/USD,GBP/USD, CF/USD currencies have been carried hrough uni roo es, is resul shown in Tab.. Since daa figure of logarihmic prices of he hree currencies are similar o random walk, here are no ime rend in assumed es equaion of ADF and PP. From Tab., hree logarihmic prices series of CAD/USD,GBP/USD, CF/USD currencies have he same resul of exising uni roo and obeying random walk wih ADF es or PP es The resul of coinegraion es The vecor consising of hree series of CAD/USD,GBP/USD, CF/USD currencies can been I() carried hrough coinegraion es since he logarihmic prices series have process, i.e., exis uni roo. And among he given coinegraion vecor has no ime rend since each of series has no eviden ime rend in ADF es. To adop Johansen s maximum likelihood race es, is resul shown Tab. 2. The values of likelihood raio in Tab.2 show only he firs null hypohesis is refused under significance level 0.05, i.e., us one coinegraion relaionship for only he firs saisic of likelihood raio more han criical value under significance level And Johansen s coinegraion es sars on having no any coinegraion relaionship, hen a mos one coinegraion relaionship, ill a mos n coinegraion relaionship. Toal n imes ess have been carried hrough and alernaive hypohesis is invarian where n is variable number. Bu here is no coinegraion relaionship under significance level 0.0. Is esimaed values γˆ of weigh of corresponding coinegraion vecor are shown in Tab.3 From he above es resul, here is o exis coinegraion relaionship among CAD/USD,GBP/USD, CF/USD currencies under significance level This means ha economy in he hree counries has a very close relaionship wih American economy, and here is o exis long-erm sabiliy relaionship. Thus he correlaion coefficien among hem has significance. 597

4 Tab. ADF and PP es resul of he hree currencies(significance level is 0.05) Series ADF Saisic ( = 0 α ) Criical value Conclusion PP Saisic ( = 0 α ) Criical value Conclusion CAD/USD ADF(2) =-0.69 (-0.84) (-.94) I() (-0.94) (-.94) I() GBP/USD ADF(2) =-.65 (-0.29) (-.94) I() -.78 (-0.37) (-.94) I() CF/USD ADF(4)=-.28 (-0.26) (-.94) I() -.4 (-0.2) (-.94) I() Noe: p in ADF(p) is lagged orders and is selecion based on value of AIC and D.W. α = 0 shown no inercep in ADF equaion,,brackeed daa of corresponding row is value of ADF saisic when having no inercep. brackeed daa of row of criical value is criical value whenα = 0. Tab. 2 Johansen coinegraion es resul Eigenvalue Likelihood raio Significance level 0.05 Significance 0.0 level Assumed coinegraion number( * a mos one a mos wo Noe:* denoes o refuse he null hypohesis under significance level Tab.3 Esimaed value of coinegraion coefficien afer regularizaion CAD/USD GBP/USD CF/USD (0.32) (0.28) null ) 4 Conclusion Noe: brackeed value is asympoic sandard error of Esimaed value of coinegraion coefficien The paper adops ADF es and PP non-parameric es o udge wheher logarihmic prices series of exchange raes have saionary process, i.e., uni roo process. Then he paper inroduces Coinegraion Theory o research coinegraion relaionship o find wheher here is long-erm sabiliy relaionship among exchange raes. The conclusion from empirical resul as follows: Firsly, he hree daily logarihmic prices series of exchange raes have non-saionary process and exis uni roo using ADF es and PP non-parameric es. And he series are no saionary process having reurned o mean value. 598

5 Secondly, Johansen coinegraion es resul shows here is o exis coinegraion relaionship among he currencies, and here is o exis long-erm sabiliy relaionship. Thus o measure is covariance is significan. The research will benefi invesors o make decision on heir porfolio and o effecively avoid risk. A he same ime, his shows ha economy in he hree counries has a very close relaionship wih American economy. Reference [] Baillie R T, Bollerslev T. Coinegraion, Fracional Coinegraion, and Exchange Rae Dynamics[J]. Journal of Finance, 994, 49: [2] akkio C S, Rush M.. Coinegraion: ow shor is he Long Reurn[J]. Journal of Inernaional Money and Finance, 999, 0: [3] Dickey, D.A. and Fuller, W.A. Disribuion of he Esimaors for Auoregressive Time Series wih a Uni Roo [J]. Journal of he American Saisical Associaion, 979, 74: [4] Diebold F X, Gardeazabal J, Yilmaz K. On Coinegraion and Exchange Rae Dynamics[J]. Journal of Finance, 994, 49: [5] Engle, R.F. and Granger, C.W.J. Coinegraion and Error Correcion: Represenaion, Esimaion and Tesing [J]. Economerica, 987, 55: [6] Philips, P.C.B. and Perren, P. Tesing for Uni Roos in Time Series Regression [J]. Biomerika, 988, 75:

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

Purchasing Power Parity (PPP), Sweden before and after EURO times

Purchasing Power Parity (PPP), Sweden before and after EURO times School of Economics and Managemen Purchasing Power Pariy (PPP), Sweden before and afer EURO imes - Uni Roo Tes - Coinegraion Tes Masers hesis in Saisics - Spring 2008 Auhors: Mansoor, Rashid Smora, Ami

More information

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

A DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand s Stock Markets

A DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand s Stock Markets Journal of Convergence Informaion Technology Volume 4, Number 1, March 9 A DCC Analysis of Two Sock Marke Reurns Volailiy wih an Oil Price Facor: An Evidence Sudy of Singapore and Thailand s Sock Markes

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Title: Who Influences Latin American Stock Market Returns? China versus USA

Title: Who Influences Latin American Stock Market Returns? China versus USA Cenre for Global Finance Working Paper Series (ISSN 2041-1596) Paper Number: 05/10 Tile: Who Influences Lain American Sock Marke Reurns? China versus USA Auhor(s): J.G. Garza-García; M.E. Vera-Juárez Cenre

More information

A Dollar or Yen Currency Union in East Asia. Lee K. Lim. School of Accounting, Finance and Economics Edith Cowan University

A Dollar or Yen Currency Union in East Asia. Lee K. Lim. School of Accounting, Finance and Economics Edith Cowan University A Dollar or Yen Currency Union in Eas Asia By Lee K. Lim School of Accouning, Finance and Economics Edih Cowan Universiy School of Accouning, Finance and Economics & FIMARC Working Paper Series Edih Cowan

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Market Overreaction and Under reaction for Currency Futures Prices. Stephen J. Larson *, Associate Professor of Finance Ramapo College of New Jersey

Market Overreaction and Under reaction for Currency Futures Prices. Stephen J. Larson *, Associate Professor of Finance Ramapo College of New Jersey Marke Overreacion and Under reacion for Currency Fuures Prices Sephen J. Larson *, Associae Professor of Finance Ramapo College of New Jersey Sephen E. Wilcox, Professor of Finance Minnesoa Sae Universiy,

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,

More information

Stability. Coefficients may change over time. Evolution of the economy Policy changes

Stability. Coefficients may change over time. Evolution of the economy Policy changes Sabiliy Coefficiens may change over ime Evoluion of he economy Policy changes Time Varying Parameers y = α + x β + Coefficiens depend on he ime period If he coefficiens vary randomly and are unpredicable,

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States Deparmen of Economics Discussion Paper 00-07 Muliple Srucural Breaks in he Nominal Ineres Rae and Inflaion in Canada and he Unied Saes Frank J. Akins, Universiy of Calgary Preliminary Draf February, 00

More information

International Business & Economics Research Journal March 2007 Volume 6, Number 3

International Business & Economics Research Journal March 2007 Volume 6, Number 3 Weak Form Efficiency In Indian Sock Markes Rakesh Gupa, (E-mail: r.gupa@cqu.edu.au), Cenral Queensland Universiy, Ausralia Parikshi K. Basu, (E-mail: pbasu@csu.edu.au), Charles Sur Universiy, Ausralia

More information

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d These noes largely concern auocorrelaion Issues Using OLS wih Time Series Daa Recall main poins from Chaper 10: Time series daa NOT randomly sampled in same way as cross secional each obs no i.i.d Why?

More information

Causal Relationship between Macro-Economic Indicators and Stock Market in India

Causal Relationship between Macro-Economic Indicators and Stock Market in India Asian Journal of Finance & Accouning Causal Relaionship beween Macro-Economic Indicaors and Sock Marke in India Dr. Naliniprava ripahy Associae Professor (Finance), Indian Insiue of Managemen Shillong

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

THE IMPACT OF TRADE ACCOUNT DEFICIT ON UNEMPLOYMENT SCENARIO: AN EMPIRICAL STUDY ON JORDAN DURING THE PERIOD OF

THE IMPACT OF TRADE ACCOUNT DEFICIT ON UNEMPLOYMENT SCENARIO: AN EMPIRICAL STUDY ON JORDAN DURING THE PERIOD OF THE IMPACT OF TRADE ACCOUNT DEFICIT ON UNEMPLOYMENT SCENARIO: AN EMPIRICAL STUDY ON JORDAN DURING THE PERIOD OF 2000-202 4 Khaled Mohammed Al-Sawai'e, PhD Economics Deparmen, Faculy of Economics and Adminisraion,

More information

Tourism s Impact on Long-Run Mexican Economic Growth. Abstract

Tourism s Impact on Long-Run Mexican Economic Growth. Abstract Tourism s Impac on Long-Run Mexican Economic Growh Juan Gabriel Brida Free Universiy of Bolzano, Ialy. Edgar J Sanchez Carrera Universiy of Siena W. Adrian Risso Universiy of Siena Absrac Tourism is one

More information

Real Exchange Rate and Trade Balance Relationship: An Empirical Study on Malaysia

Real Exchange Rate and Trade Balance Relationship: An Empirical Study on Malaysia Vol. 3, No. 8 Inernaional Journal of Business and Managemen Real Exchange Rae and Trade Balance Relaionship: An Empirical Sudy on Malaysia Ng Yuen-Ling Faculy of Accounancy and Managemen, Universii Tunku

More information

Volatility in Returns of Islamic and Commercial Banks in Pakistan

Volatility in Returns of Islamic and Commercial Banks in Pakistan Volailiy in Reurns of Islamic and Commercial Banks in Pakisan Muhammad Iqbal Non-Linear Time Series Analysis Prof. Rober Kuns Deparmen of Economic, Universiy of Vienna, Vienna, Ausria Inroducion Islamic

More information

CEEP-BIT WORKING PAPER SERIES. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery

CEEP-BIT WORKING PAPER SERIES. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery CEEP-BIT WORKING PAPER SERIES The crude oil marke and he gold marke: Evidence for coinegraion, causaliy and price discovery Yue-Jun Zhang Yi-Ming Wei Working Paper 5 hp://www.ceep.ne.cn/english/publicaions/wp/

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

CAUSAL RELATIONSHIP BETWEEN SAVINGS AND ECONOMIC GROWTH IN COUNTRIES WITH DIFFERENT INCOME LEVELS. Abstract

CAUSAL RELATIONSHIP BETWEEN SAVINGS AND ECONOMIC GROWTH IN COUNTRIES WITH DIFFERENT INCOME LEVELS. Abstract CAUSAL RELATIONSHIP BETWEEN SAVINGS AND ECONOMIC GROWTH IN COUNTRIES WITH DIFFERENT INCOME LEVELS. Ramesh Mohan Bryan Universiy Absrac This paper addresses he relaionship beween domesic savings and economic

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

THE IMPACT OF SHORT SALE RESTRICTIONS ON STOCK VOLATILITY: EVIDENCE FROM TAIWAN

THE IMPACT OF SHORT SALE RESTRICTIONS ON STOCK VOLATILITY: EVIDENCE FROM TAIWAN The Inernaional Journal of Business and Finance Research Volume 5 Number 4 2011 THE IMPACT OF SHORT SALE RESTRICTIONS ON STOCK VOLATILITY: EVIDENCE FROM TAIWAN Shih Yung Wei, Universiy of Science and Technology,

More information

GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS

GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS Assoc. Prof. Dilek Leblebici Teker (Corresponding Auhor) Isık Universiy Deparmen of Managemen dilek.eker@isikun.edu.r

More information

A study of dynamics in market volatility indices between

A study of dynamics in market volatility indices between Invesmen Managemen and Financial Innovaions Volume 9 Issue 4 01 Yen-Hsien Lee (Taiwan) Jui-Cheng Hung (Taiwan) Yi-Hsien Wang (Taiwan) Chin-Yen Huang (Taiwan) A sudy of dynamics in marke volailiy indices

More information

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1 Journal of Economic Cooperaion, 8, (007), 83-98 MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jaria Duasa 1 The objecive of he paper is wofold. Firs, is o examine causal relaionship

More information

Do Property-Casualty Insurance Underwriting Margins Have Unit Roots?

Do Property-Casualty Insurance Underwriting Margins Have Unit Roots? Do Propery-Casualy Insurance Underwriing Margins Have Uni Roos? Sco E. Harringon* Moore School of Business Universiy of Souh Carolina Columbia, SC 98 harringon@moore.sc.edu (83) 777-495 Tong Yu College

More information

Dynamic linkages between Thai and international stock markets

Dynamic linkages between Thai and international stock markets Universiy of Wollongong Research Online Faculy of Commerce - Papers (Archive) Faculy of Business 2007 Dynamic linkages beween Thai and inernaional sock markes Abbas Valadkhani Universiy of Wollongong,

More information

The Relation between Price Changes and Trading Volume: A Study in Indian Stock Market

The Relation between Price Changes and Trading Volume: A Study in Indian Stock Market Inerdisciplinary Journal of esearch in Business ol. 1, Issue. 7, July 011(pp.81-95) The elaion beween Price Changes and Trading olume: A Sudy in Indian Sock Marke Dr. Naliniprava Tripahy Associae Professor

More information

EXCHANGE RATE POLICY AND TRADE BALANCE. A COINTEGRATION ANALYSIS OF THE ARGENTINE EXPERIENCE SINCE 1962.

EXCHANGE RATE POLICY AND TRADE BALANCE. A COINTEGRATION ANALYSIS OF THE ARGENTINE EXPERIENCE SINCE 1962. EXCHANGE RATE POLICY AND TRADE BALANCE. A COINTEGRATION ANALYSIS OF THE ARGENTINE EXPERIENCE SINCE 962. David Maesanz Gómez Deparameno de Economía Aplicada, Universidad de Oviedo maesanzdavid@uniovi.es

More information

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect Journal of Economics, Business and Managemen, Vol., No. 4, November 203 Oil Price Flucuaions and Firm Performance in an Emerging Marke: Assessing Volailiy and Asymmeric Effec Hawai Janor, Aisyah Abdul-Rahman,

More information

ElectricityConsumptionandEconomicGrowthinBangladeshCo-IntegrationandCausalityAnalysis

ElectricityConsumptionandEconomicGrowthinBangladeshCo-IntegrationandCausalityAnalysis Global Journal of Managemen and Business Research Volume 12 Issue 11 Version 1.0 July 2012 Type: Double Blind Peer Reviewed Inernaional Research Journal Publisher: Global Journals Inc. (US) Online ISSN:

More information

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,

More information

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen A Noe on he Impac of Opions on Sock Reurn Volailiy Nicolas P.B. Bollen ABSTRACT This paper measures he impac of opion inroducions on he reurn variance of underlying socks. Pas research generally finds

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Time Series Modeling for Risk of Stock. Price with Value at Risk Computation

Time Series Modeling for Risk of Stock. Price with Value at Risk Computation Applied Mahemaical Sciences, Vol 9, 015, no 56, 779-787 HIKARI Ld, wwwm-hikaricom hp://dxdoiorg/101988/ams0155144 Time Series Modeling for Risk of Sock Price wih Value a Risk Compuaion Dodi Deviano, Maiyasri

More information

Modelling and Forecasting Volatility of Gold Price with Other Precious Metals Prices by Univariate GARCH Models

Modelling and Forecasting Volatility of Gold Price with Other Precious Metals Prices by Univariate GARCH Models Deparmen of Saisics Maser's Thesis Modelling and Forecasing Volailiy of Gold Price wih Oher Precious Meals Prices by Univariae GARCH Models Yuchen Du 1 Supervisor: Lars Forsberg 1 Yuchen.Du.84@suden.uu.se

More information

Part 1: White Noise and Moving Average Models

Part 1: White Noise and Moving Average Models Chaper 3: Forecasing From Time Series Models Par 1: Whie Noise and Moving Average Models Saionariy In his chaper, we sudy models for saionary ime series. A ime series is saionary if is underlying saisical

More information

Asian Economic and Financial Review VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY. Hojatallah Goudarzi

Asian Economic and Financial Review VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY. Hojatallah Goudarzi Asian Economic and Financial Review journal homepage: hp://aessweb.com/journal-deail.php?id=500 VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY Hojaallah Goudarzi Deparmen of Finance and Insurance,

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

Dynamic co-movement and correlations in fixed income markets: Evidence from selected emerging market bond yields

Dynamic co-movement and correlations in fixed income markets: Evidence from selected emerging market bond yields P Thupayagale* and I Molalapaa Dynamic co-movemen and correlaions in fixed income markes: Evidence from seleced emerging marke bond yield Dynamic co-movemen and correlaions in fixed income markes: Evidence

More information

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

The stock index futures hedge ratio with structural changes

The stock index futures hedge ratio with structural changes Invesmen Managemen and Financial Innovaions Volume 11 Issue 1 2014 Po-Kai Huang (Taiwan) The sock index fuures hedge raio wih srucural changes Absrac This paper esimaes he opimal sock index fuures hedge

More information

Relationship between Stock Prices, Exchange Rate and Demand for Money in Pakistan

Relationship between Stock Prices, Exchange Rate and Demand for Money in Pakistan Middle Easern Finance and Economics ISSN: 1450-2889 Issue 3 (2009) EuroJournals Publishing, Inc. 2009 hp://www.eurojournals.com/mefe.hm Relaionship beween Sock Prices, Exchange Rae and Demand for Money

More information

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines* The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES Juan Ángel Lafuene Universidad Jaume I Unidad Predeparamenal de Finanzas y Conabilidad Campus del Riu Sec. 1080, Casellón

More information

Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets

Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets Proceedings of he 2013 Inernaional Conference on Economics and Business Adminisraion Relaionship beween Sock Reurns and Trading olume: Domesic and Cross-Counry Evidence in Asian Sock Markes Ki-Hong Choi

More information

THE RELATIONSHIPS AMONG PETROLEUM PRICES. Abstract

THE RELATIONSHIPS AMONG PETROLEUM PRICES. Abstract Inernaional Conference On Applied Economics ICOAE 2010 459 THE RELATIONSHIPS AMONG PETROLEUM PRICES RAYMOND LI 1 Absrac This paper evaluaes in a mulivariae framework he relaionship among he spo prices

More information

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck

More information

SCHUMPETER DISCUSSION PAPERS Interdependence between Foreign Exchange Markets and Stock Markets in Selected European Countries

SCHUMPETER DISCUSSION PAPERS Interdependence between Foreign Exchange Markets and Stock Markets in Selected European Countries SCHUMPETER DISCUSSION PAPERS Inerdependence beween Foreign Exchange Markes and Sock Markes in Seleced European Counries Mevlud Islami SDP 2008-007 ISSN 1867-5352 by he auor Inerdependence Beween Foreign

More information

Online Open Access publishing platform for Management Research. Copyright 2010 All rights reserved Integrated Publishing association

Online Open Access publishing platform for Management Research. Copyright 2010 All rights reserved Integrated Publishing association ASIAN JOURNAL OF MANAGEMENT RESEARCH Online Open Access publishing plaform for Managemen Research Copyrigh 2010 All righs reserved Inegraed Publishing associaion Case Sudy ISSN 2229 3795 Global Financial

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA Journal of Applied Economics, Vol. IV, No. (Nov 001), 313-37 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas

More information

The predictive power of volatility models: evidence from the ETF market

The predictive power of volatility models: evidence from the ETF market Invesmen Managemen and Financial Innovaions, Volume, Issue, 4 Chang-Wen Duan (Taiwan), Jung-Chu Lin (Taiwan) The predicive power of volailiy models: evidence from he ETF marke Absrac This sudy uses exchange-raded

More information

RESTRICTIONS IN REGRESSION MODEL

RESTRICTIONS IN REGRESSION MODEL RESTRICTIONS IN REGRESSION MODEL Seema Jaggi and N. Sivaramane IASRI, Library Avenue, New Delhi-11001 seema@iasri.res.in; sivaramane@iasri.res.in Regression analysis is used o esablish a relaionship via

More information

Efficiency of the Mutual Fund Industry: an Examination of U.S. Domestic Equity Funds: 1995-2004

Efficiency of the Mutual Fund Industry: an Examination of U.S. Domestic Equity Funds: 1995-2004 Geysburg Economic Review Volume 1 Aricle 4 2006 Efficiency of he Muual Fund Indusry: an Examinaion of U.S. Domesic Equiy Funds: 1995-2004 Chase J. Sewar Geysburg College Class of 2006 Follow his and addiional

More information

Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey

Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey Received: 21 May 2011; Acceped: 05 May 2012. UDC 338.516:665,6 (560) DOI: 10.2298/PAN1204463E Original scienific paper Ibrahim Halil Eksi Faculy of Economics and Adminisraive Sciences, Kilis 7 Aralik Universiy,

More information

Relationship between stock index and increments of stock market trading accounts

Relationship between stock index and increments of stock market trading accounts Relaionship beween sock index and increens of sock arke rading accouns Zhenlong Zheng, Yangshu Liu Zhenlong Zheng, a professor fro Deparen of Finance, Xiaen Universiy, Xiaen, Fujian, 6005, China. E-ail:

More information

Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region

Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region Sochasic Trends and Sock Prices in Emerging Markes: The Case of Middle Eas and Norh Africa Region Lokman GUNDUZ Beyken Universiy, Turkey Mohammed OMRAN Arab Academy for Science and Technology, College

More information

Applied Econometrics and International Development

Applied Econometrics and International Development Applied Economerics and Inernaional Developmen Vol.6-3(006) STANDARD & POOR S DEPOSITARY RECEIPTS AND THE MARKET QUALITY OF S&P 500 INDEX FUTURES CHU, Quenin C. * KAYALI, Musafa Mesu Absrac This sudy examines

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

How Useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index

How Useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index Inernaional Journal of Economics and Financial Issues Vol. 4, No. 3, 04, pp.65-656 ISSN: 46-438 www.econjournals.com How Useful are he Various Volailiy Esimaors for Improving GARCH-based Volailiy Forecass?

More information

THE EFFECTS OF INTERNATIONAL ACCOUNTING STANDARDS ON STOCK MARKET VOLATILITY: THE CASE OF GREECE

THE EFFECTS OF INTERNATIONAL ACCOUNTING STANDARDS ON STOCK MARKET VOLATILITY: THE CASE OF GREECE Invesmen Managemen and Financial Innovaions, Volume 4, Issue 1, 007 61 THE EFFECTS OF INTERNATIONAL ACCOUNTING STANDARDS ON STOCK MARKET VOLATILITY: THE CASE OF GREECE Chrisos Floros * Absrac The adopion

More information

Social Media Content on Financial Markets

Social Media Content on Financial Markets Inernaional Journal of New Technology and Research (IJNTR) ISSN:2454-4116, Volume-2, Issue-3, March 2016 Pages 134-137 Social Media Conen on Financial Markes Juheng Zhang Absrac Socks are weeed by invesors

More information

A prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy

A prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy Mahemaical Models and Mehods in Modern Science A predicion of long-run macroeconomic relaions and invesigaion of domesic shock effecs in he Czech economy JANA HANCLOVA Deparmen of Mahemaical Mehods in

More information

Alternative Settlement Methods and Australian Individual Share Futures Contracts. Donald Lien and Li Yang * (Draft: September 2003)

Alternative Settlement Methods and Australian Individual Share Futures Contracts. Donald Lien and Li Yang * (Draft: September 2003) Alernaive Selemen Mehods and Ausralian Individual Share Fuures Conracs Donald Lien and Li Yang * (Dra: Sepember 2003) Absrac Individual share uures conracs have been inroduced in Ausralia since 1994. Iniially

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter?

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter? Proceedings of he Firs European Academic Research Conference on Global Business, Economics, Finance and Social Sciences (EAR5Ialy Conference) ISBN: 978--6345-028-6 Milan-Ialy, June 30-July -2, 205, Paper

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information

Are the Stock Markets in the Middle East Region Efficient?

Are the Stock Markets in the Middle East Region Efficient? Inernaional Review of Business Research Papers Vol. 3 No.5 Novemer 2007 Pp.297-307 Are he Sock Markes in he Middle Eas Region Efficien? Hazem Marashdeh* In his paper four emerging sock markes in he Middle

More information

ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX

ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX -Journal of Ars, Science & Commerce ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX Dr. Pedapalli Neeraja, M.Com., M.Phil. Ph.D. Assisan Professor Business

More information

Statistical Analysis with Little s Law. Supplementary Material: More on the Call Center Data. by Song-Hee Kim and Ward Whitt

Statistical Analysis with Little s Law. Supplementary Material: More on the Call Center Data. by Song-Hee Kim and Ward Whitt Saisical Analysis wih Lile s Law Supplemenary Maerial: More on he Call Cener Daa by Song-Hee Kim and Ward Whi Deparmen of Indusrial Engineering and Operaions Research Columbia Universiy, New York, NY 17-99

More information

The Impact of Flood Damages on Production of Iran s Agricultural Sector

The Impact of Flood Damages on Production of Iran s Agricultural Sector Middle-Eas Journal of Scienific Research 12 (7): 921-926, 2012 ISSN 1990-9233 IDOSI Publicaions, 2012 DOI: 10.5829/idosi.mejsr.2012.12.7.1783 The Impac of Flood Damages on Producion of Iran s Agriculural

More information

Testing the linearity of a time series. Some Monte Carlo and Empirical Tests

Testing the linearity of a time series. Some Monte Carlo and Empirical Tests Tesing he lineariy of a ime series. Some Mone Carlo and Empirical Tess By Efsraios Tserkezos (Corresponding auhor). Mahemaical Modelling in new Technologies and Economy Posgraduae Programme. Applied Mahemaics

More information

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and

More information

Efficiency in Emerging Markets - Evidence from the Emirates Securities Market

Efficiency in Emerging Markets - Evidence from the Emirates Securities Market European Journal of Economics, Finance and Adminisraive Sciences ISSN 450-2275 Issue 2 (2008) EuroJournals, Inc. 2008 hp://www.eurojournalsn.com Efficiency in Emerging Mares - Evidence from he Emiraes

More information

A Re-Examination of the Unbiased Forward Rate Hypothesis in the Presence of Multiple Unknown Structural Breaks

A Re-Examination of the Unbiased Forward Rate Hypothesis in the Presence of Multiple Unknown Structural Breaks A Re-Examinaion of he Unbiased Forward Rae Hypohesis in he Presence of Muliple Unknown Srucural Breaks Abdulnasser Haemi-J UAE Universiy E-mail: AHaemi@uaeu.ac.ae Eduardo Roca Deparmen of Accouning, Finance

More information

MSCI Index Calculation Methodology

MSCI Index Calculation Methodology Index Mehodology MSCI Index Calculaion Mehodology Index Calculaion Mehodology for he MSCI Equiy Indices Index Mehodology MSCI Index Calculaion Mehodology Conens Conens... 2 Inroducion... 5 MSCI Equiy Indices...

More information

CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS

CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS INTERNATIONAL ECONOMICS & FINANCE JOURNAL Vol. 6, No. 1, January-June (2011) : 67-82 CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS Andreas G. Georganopoulos *, Dimiris F. Kenourgios ** and Anasasios

More information

Volume 31, Issue 2. Purchasing Power Parity and the Chinese Yuan

Volume 31, Issue 2. Purchasing Power Parity and the Chinese Yuan Volume 31, Issue Purchasing Power Pariy and he Chinese Yuan Richard Paul Gregory Eas Tennessee Sae Universiy Gary Shelley Eas Tennessee Sae Universiy Absrac Resuls from uni roo ess applied o he bilaeral

More information

Stock Price Prediction Using the ARIMA Model

Stock Price Prediction Using the ARIMA Model 2014 UKSim-AMSS 16h Inernaional Conference on Compuer Modelling and Simulaion Sock Price Predicion Using he ARIMA Model 1 Ayodele A. Adebiyi., 2 Aderemi O. Adewumi 1,2 School of Mahemaic, Saisics & Compuer

More information

Applied Econometrics and International Development Vol.7-1 (2007)

Applied Econometrics and International Development Vol.7-1 (2007) Applied Economerics and Inernaional Developmen Vol.7- (7) THE INFLUENCE OF INTERNATIONAL STOCK MARKETS AND MACROECONOMIC VARIABLES ON THE THAI STOCK MARKET CHANCHARAT, Surachai *, VALADKHANI, Abbas HAVIE,

More information

MODELING SPILLOVERS BETWEEN STOCK MARKET AND MONEY MARKET IN NIGERIA

MODELING SPILLOVERS BETWEEN STOCK MARKET AND MONEY MARKET IN NIGERIA Working Paper Series: 16 Jan/2015 MODELING SPILLOVERS BETWEEN STOCK MARKET AND MONEY MARKET IN NIGERIA Afees A. Salisu and Kazeem O. Isah MODELING SPILLOVERS BETWEEN STOCK MARKET AND MONEY MARKET IN NIGERIA

More information

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying

More information

FDI, Population Density and Carbon Dioxide Emissions: A Case Study of Pakistan

FDI, Population Density and Carbon Dioxide Emissions: A Case Study of Pakistan Iranica Journal of Energy & Environmen 3 (4): 355-36, ISSN 79-5 IJEE an Official Peer Reviewed Journal of Babol Noshirvani Universiy of echnology DOI:.589/idosi.ijee..3.4.76 BU FDI, Populaion Densiy and

More information

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market African Journal of Business Managemen Vol.6 (9), pp. 870-8736, 5 July, 0 Available online a hp://www.academicjournals.org/ajbm DOI: 0.5897/AJBM.88 ISSN 993-833 0 Academic Journals Full Lengh Research Paper

More information

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction.

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction. Applied Economerics and Inernaional Developmen. AEID.Vol. 5-3 (5) EFFECT OF OIL PRICE SHOCKS IN THE U.S. FOR 1985-4 USING VAR, MIXED DYNAMIC AND GRANGER CAUSALITY APPROACHES AL-RJOUB, Samer AM * Absrac

More information

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR THE FIRST ANNUAL PACIFIC-BASIN FINANCE CONFERENCE The

More information