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Jean Coulom and Vijay Shenai
The topic of contagion has gained importance in the last few decades, earning its place amongst the most debated topics in international economics. Contagion is a phenomenon where market disturbances in crisis times are observed to spread from one countr...
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Stoyu I. Ivanov
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the...
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Karen Yukari Yokoyama,Alfredo Sarlo Neto,Cláudio Márcio Pereira da Cunha
Pág. 523 - 550
Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns? exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification po...
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Massimo Mariani,Paola Amoruso
Pág. 1760 - 1767
The rapid growth of catastrophe bonds in financial markets is due to increasing environmental disasters and consequent economic losses, barely covered by insurance and reinsurance companies. These securities represent an effective solution, allowing the ...
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Yu Hsing
Pág. 12 - 18
This paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa?s stock market index is positively influenced by the growth r...
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