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Shih-Yung Wei,Jao-Hong Cheng,Li-Wei Lin,Su-Mei Gan
Pág. 158 - 169
This study focused on the volatility asymmetry of scale indexes in China?s stock market. A total of 12 indexes in four categories were studied during the study period, which lasted from January 1, 2012 to September 30, 2018. The study results showed that...
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Aniek Hindrayani,Fadikia K Putri,Inda F Puspitasari 10.21831/economia.v15i2.26314
Pág. 232 - 242
Abstract: This study analyzes the spillover effects of the US monetary policy on the ASEAN stock market with Markov switching model and investigates differences in empirical results of each country from ASEAN member. The results of this study have import...
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Erik Sonne Noddeboe and Hans Christian Faergemann
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can signif...
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Ailie Charteris
AbstractSeveral studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were...
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Samet Günay
In this study, the scaling properties of the oil and gold return volatilities have been analyzed in the context of bull and bear periods. In the determination of bull and bear turning points, we used the Modified Bry-Boschan Quarterly (MBBQ) algorithm. R...
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Seyyed Ali Paytakhti Oskooe
Pág. 179 - 183
This study examines whether the nonlinear adjustment dynamic of stock returns to the equilibrium level in an emerging stock market is symmetrical or asymmetrical. The empirical results suggest that the data generating process of Iran stock returns series...
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Marc Dumont De Chassart,Colin Firer,Wendy Grantham,Simon Hill,Mark Pryce,Ian Rudden
AbstractThe objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timer...
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