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Interdependence Between The Us And Major European Equity Markets
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Book Synopsis Interdependence Between in the US and Major European Equity Markets: Evidence from Spectral Analysis by : Ioannis Asimakopoulos
Download or read book Interdependence Between in the US and Major European Equity Markets: Evidence from Spectral Analysis written by Ioannis Asimakopoulos and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interdependence Between the US and Major European Equity Markets by : Asimakopoulos Ioannis
Download or read book Interdependence Between the US and Major European Equity Markets written by Asimakopoulos Ioannis and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets by : Hüseyin Taştan
Download or read book Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets written by Hüseyin Taştan and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates dynamic interdependence, price and volatility transmissions and financial integration between Turkey and major equity markets in EU and USA. We attempt to quantify the dynamic relationship among developed stock exchanges of Germany, France, Britain, US and Turkey, an important emerging market. Using daily data on stock prices we analyze price and volatility spillovers in a vector autoregression-dynamic conditional correlations-multivariate generalized autoregressive conditional heteroskedacticity (VAR-DCC-MVGARCH) framework. This approach enables us to measure the extent to which these equity markets are interrelated by taking into account the time-varying variance-covariance structure. Since the major trade partners of Turkey are EU countries it is of interest to examine any changes in the structure of volatility spillovers. To this end, we analyze the effects of customs union agreement between Turkey and EU on the dynamic interdependence of stock markets by dividing the sample into two periods. The analysis reveals that, although they are small in magnitude as compared to their counterparts in developed markets, the conditional correlations can be assumed to be constant in the pre-customs union agreement while it fluctuates significantly in the post-customs union agreement.
Book Synopsis Identifying the Interdependence Between US Monetary Policy and the Stock Market by : Hilde C. Bjørnland
Download or read book Identifying the Interdependence Between US Monetary Policy and the Stock Market written by Hilde C. Bjørnland and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (CEE 1999). We find great interdependence between interest rate setting and stock prices. Stock prices immediately fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price shock increasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute a major part of the surge in stock prices at the end of the 1990s to these non-fundamental shocks.
Book Synopsis Intra-Day Anomalies in the Relationship Between U.S. Futures and European Stock Indexes by : Alessandro Innocenti
Download or read book Intra-Day Anomalies in the Relationship Between U.S. Futures and European Stock Indexes written by Alessandro Innocenti and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and stock indexes extends to this specific cross-country case. The correlation is particularly strong in the opening and closing of the European markets, but decreases quickly and remarkably between 13:00 and 13:30 (CET time). This fall is interpreted as derived from the expected release of press communication from U.S. companies. While in U.S. futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from U.S. affects indexes price sensitivity providing arbitrage opportunities, due to the imperfect international integration of financial markets.
Book Synopsis European Equity Markets and Corporate Financial Decisions by : John Doukas
Download or read book European Equity Markets and Corporate Financial Decisions written by John Doukas and published by Psychology Press. This book was released on 1993 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: European Equity Markets and Corporate Financial Decisions explores the current nature of corporate decisions faced by European financial managers, the highly interdependent financial and economic environment in which they function, and how that environment seeks complete integration with other financial and economic environments. The contributing authors provide a timely core of theoretical and empirical investigations on a set of European equity markets and corporate financial management decisions to give readers a deeper understanding of equity markets in Europe.
Book Synopsis Intraday Interdependence of International Stock Markets by : Ulrich Carl
Download or read book Intraday Interdependence of International Stock Markets written by Ulrich Carl and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the interdependence between international equity markets represented by the S&P 500 Mini Future, the Eurostoxx 50 Future and the Nikkei 225 Dollar Future using 5 minute tick data from April 2007 until February 2012. This very recent, high-frequency, future market data approach has a significant advantage over previous research based on lower frequency data by explicitly accounting for intraday effects and avoiding biases due to non-synchronous data. A preliminary analysis of hourly data reveals distinct intraday patterns especially in hourly volatility, correlations and volume. For the study of correlation and volatility, the trading day for each pair of markets is divided into four subsections of varying trading activity. The correlation is highest when only the American stock markets are open. While the European volatility strongly depends on the opening status of the U.S. equity markets, the American volatility is much less affected by the opening status of the European equity markets. This clearly indicates that U.S. markets are still dominant. The opening of a major stock exchange significantly increases volatility and correlation. There is no statistically significant return pattern, but some indication for a trend reversal in Eurostoxx 50 returns after Stoxx opening.
Book Synopsis The Future of European Stock Markets by : Alasdair Murray
Download or read book The Future of European Stock Markets written by Alasdair Murray and published by . This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The creation of a single market in equities remains one of the EU's unfinished projects. But the author argues against a centralised market and instead, suggests establishing a new and flexible regulatory framework, allowing Europe to compete effectively in the global arena.
Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri
Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Book Synopsis An Introduction to Wavelet Theory in Finance by : Francis In
Download or read book An Introduction to Wavelet Theory in Finance written by Francis In and published by World Scientific. This book was released on 2013 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an introduction to wavelet theory and provides the essence of wavelet analysis OCo including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation OCo in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets.This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines OCo applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader''s understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.
Book Synopsis Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers by : Sabri Boubaker
Download or read book Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Book Synopsis Economic Interdependence and War by : Dale C. Copeland
Download or read book Economic Interdependence and War written by Dale C. Copeland and published by Princeton University Press. This book was released on 2014-11-02 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Does growing economic interdependence among great powers increase or decrease the chance of conflict and war? Liberals argue that the benefits of trade give states an incentive to stay peaceful. Realists contend that trade compels states to struggle for vital raw materials and markets. Moving beyond the stale liberal-realist debate, Economic Interdependence and War lays out a dynamic theory of expectations that shows under what specific conditions interstate commerce will reduce or heighten the risk of conflict between nations. Taking a broad look at cases spanning two centuries, from the Napoleonic and Crimean wars to the more recent Cold War crises, Dale Copeland demonstrates that when leaders have positive expectations of the future trade environment, they want to remain at peace in order to secure the economic benefits that enhance long-term power. When, however, these expectations turn negative, leaders are likely to fear a loss of access to raw materials and markets, giving them more incentive to initiate crises to protect their commercial interests. The theory of trade expectations holds important implications for the understanding of Sino-American relations since 1985 and for the direction these relations will likely take over the next two decades. Economic Interdependence and War offers sweeping new insights into historical and contemporary global politics and the actual nature of democratic versus economic peace.
Book Synopsis Measuring Co-movements Between US and European Stock Markets by : Alessandra Bonfiglioli
Download or read book Measuring Co-movements Between US and European Stock Markets written by Alessandra Bonfiglioli and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Book Synopsis Uncertainty and Challenges in Contemporary Economic Behaviour by : Ercan Özen
Download or read book Uncertainty and Challenges in Contemporary Economic Behaviour written by Ercan Özen and published by Emerald Group Publishing. This book was released on 2020-09-25 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day presents new challenges as the face of global economics changes. In this first book in the Emerald Studies in Finance, Insurance, and Risk Management, expert editors and contributors come together to discuss global response to new uncertainty and challenges.
Book Synopsis Handbook of Research on Social and Economic Development in the European Union by : Bayar, Yilmaz
Download or read book Handbook of Research on Social and Economic Development in the European Union written by Bayar, Yilmaz and published by IGI Global. This book was released on 2019-11-29 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: The EU has experienced serious economic and political crises such as the sovereign debt crisis and Brexit in the past few years. However, despite these issues, the EU has implemented considerable institutional, fiscal, and collective improvements during the unification process to continue as a significant actor in the global economy. The Handbook of Research on Social and Economic Development in the European Union provides a multidisciplinary evaluation of the institutional, economic, and social development of the European Union and makes inferences for the future dynamics and collaborations of the EU, the global economy, and other countries. Featuring coverage on a broad range of topics such as energy security, gender discrimination, and global economics, this book is ideally designed for government officials, policymakers, world leaders, politicians, diplomats, international relations officers, economists, business professionals, historians, market analysts, academicians, researchers, and students concerned about the multifaceted integration processes surrounding the EU.
Book Synopsis The CRB Commodity Yearbook 2003 by : Commodity Research Bureau
Download or read book The CRB Commodity Yearbook 2003 written by Commodity Research Bureau and published by John Wiley & Sons. This book was released on 2003-05-05 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: The single most comprehensive source of commodity and futures market information available Since 1939, professional traders, commercial hedgers, portfolio managers, and speculators have come to regard The CRB Commodity Yearbook as the "bible" of the industry. Here is a wealth of authoritative data, gathered from government reports, private industry, and trade and industry associations, all compiled by the Commodity Research Bureau, the organization of record for the entire commodity industry itself. Absolutely essential for identifying changing trends in supply and demand and for projecting important price movements, the Yearbook gives the investor: Worldwide supply/demand and production/consumption data for all the basic commodities and futures markets–from A(luminum) to Z(inc), including all the major markets in interest rates, currencies, energy, and stock index futures Over 900 tables, graphs, and price charts of historical data, many of which show price history dating back to 1900 Concise introductory articles that describe the salient features of each commodity and help put the quantitative information in perspective Articles by prominent professionals on key markets and important issues concerning the commodity industry. The 2003 Yearbook features articles by prominent professionals, including "Understanding and Analyzing the Sugar Market" by Walter Spilka and "Conquer the Crash: You Can Survive and Prosper in a Deflationary Depression" by national bestselling author, Robert R. Prechter Jr. For anyone dealing in commodities, The CRB Commodity Yearbook 2003 offers an abundance of valuable information and indispensable guidance for decision-making.
