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Toplam kayıt 11, listelenen: 1-10
An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
(Elsevier Science BV, 2015-03)
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...
On the performance of West's bubble test: A simulation approach
(Elsevier science inc, 2010-12-01)
In this research we examine the ability of West's bubble test [1] in detecting speculative bubbles using Brock's (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In ...
İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
(Bilgesel Yayıncılık San Tic Ltd, 2010-08)
Bu çalışma hisse senetlerinin likiditesi ve fiyatı arasındaki ilişkiyi bu konunun henüz araştırılmadığı bir pazar olan İstanbul Menkul Kıymetler Borsası'nın verisi kullanarak incelemektedir. Çalışmada iki sorunun cevabı ...
Avrupa borç krizi döneminde global risk faktörleri ve ülke kredi temerrüt takası primi ilişkisi: 19 ülke örneği
(Akdeniz Üniversitesi, 2017)
Bu makale 19 ülke için Avrupa borç krizi döneminde ülke kredi temerrüt takası primindeki değişimi ve volatiliteyi etkileyen global risk faktörlerini incelemektedir. Çalışmada, literatürde kullanılmış olan global ekonomik ...
Bankacılık sektörü hisse senedi endeksi ile enflasyon arasındaki ilişki: Yedi ülke örneği
(Manisa Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2013)
Bu çalışmanın amacı yedi ülkede bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi analiz etmektir. Literatürde hisse senedi piyasa endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi ...
Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises
(Inderscience Publishers, 2020-06-03)
This paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. ...
Flight to quality and the predictability of reversals: The role of market states and global factors
(Elsevier Science BV, 2017-12)
This paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We show that short-term reversals, thus the payoffs to the contrarian strategy, are predictable with the market ...
Stock return seasonality and the temperature effect
(EuroJournals Publishing, 2009-12)
Motivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for ...
On the hedging benefits of REITs: The role of risk aversion and market states
(Oviedo University Press, 2021-06)
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the ...
Global risk aversion and emerging market return comovements
(Elsevier Science SA, 2018-12)
Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets ...