Intertemporal Stability In International Stock Market Relationships
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Author | : Gordon Y. N. Tang |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
ISBN | : |
Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.
Author | : Rita Maldonado |
Publisher | : |
Total Pages | : 52 |
Release | : 1980 |
Genre | : |
ISBN | : |
Author | : Yan-leung Cheung |
Publisher | : |
Total Pages | : 62 |
Release | : 1990 |
Genre | : Investment analysis |
ISBN | : |
Author | : Gordon Y. N. Tang |
Publisher | : |
Total Pages | : 29 |
Release | : 1995 |
Genre | : Stock index futures |
ISBN | : |
Author | : Gagari Chakrabarti |
Publisher | : Springer Science & Business Media |
Total Pages | : 69 |
Release | : 2012-01-05 |
Genre | : Business & Economics |
ISBN | : 8132204638 |
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Author | : Khosrow Fatemi |
Publisher | : Routledge |
Total Pages | : 298 |
Release | : 2012-10-12 |
Genre | : Business & Economics |
ISBN | : 1136267441 |
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Author | : Anastasios G Malliaris |
Publisher | : World Scientific |
Total Pages | : 373 |
Release | : 2005-10-03 |
Genre | : Business & Economics |
ISBN | : 9814480045 |
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.
Author | : Khosrow Fatemi |
Publisher | : Routledge |
Total Pages | : 298 |
Release | : 2012-05-25 |
Genre | : Business & Economics |
ISBN | : 0415538807 |
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Author | : Dilip K. Ghosh |
Publisher | : Routledge |
Total Pages | : 465 |
Release | : 2005-08-15 |
Genre | : Business & Economics |
ISBN | : 1134779488 |
This volume uses the original research of experienced contributors to explore recent changes in financial markets. Areas discussed include Latin America, Europe, the USA, Mexico and India. The book updates issues including: * Risk and its minimization * Business enterprise on world markets * Capital flows and capital flight * Offshore markets * Central bank intervention
Author | : Ramaprasad Bhar |
Publisher | : Springer Science & Business Media |
Total Pages | : 246 |
Release | : 2005-12-28 |
Genre | : Business & Economics |
ISBN | : 3540276424 |
Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.