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Displaying results 1 to 8 of 8.

  1. Stock market bubbles and the forecastability of gold returns (and volatility)
    Author: Gabauer, David; Gupta, Rangan; Karmakar, Sayar; Nielsen, Joshua
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/8724
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 28 (June 2022)
    Subjects: Gold; Stock Markets; Bubbles; Forecasting; Returns; Volatility
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Volatility and systematic risks in financial markets
    Author: Würsig, Christoph Matthias
    Published: 2022
    Publisher:  Gottfried Wilhelm Leibniz Universität, Hannover

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Prokopczuk, Marcel (AkademischeR BetreuerIn); Dierkes, Maik (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Marktmacht; Systematisches Risiko; Vorhersage von Aktienrenditen; Rohstoffmärkte; Volatilität; Extrem-Risiko; Market power; systematic risk; Return Predictability; Commodity Market; Volatility; Tail Risk
    Scope: 1 Online-Ressource (11, I-IV, 274 Seiten, 2.768 Mb), Diagramme
    Notes:

    Literaturverzeichnis

    Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, 2022
  3. Superstition and risk-taking
    evidence from "zodiac year" beliefs in China
    Author: Fisman, Raymond; Huang, Wei; Ning, Bo; Pan, Yue; Qiu, Jiaping; Wang, Yongxiang
    Published: [2022]
    Publisher:  Boston University - Department of Economics, [Boston, MA]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [IED working papers] ; 370
    Subjects: Risk aversion; Innovation; Mergers&Acquisitions; Volatility; Household Finance; Superstition; China; Zodiac Year
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
    Notes:

    This version: April 29, 2022
  4. The certification role of the EU-wide stress testing exercises in the stock market
    what can we learn from the stress tests (2014-2021)?
    Author: Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we... more

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    What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress tests on (cumulative) excess/abnormal returns through a one-factor market model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests through a structural GARCH model, developed by Engle and Siriwardane (2018). Our results suggest that the publication of stress tests provides new information to markets. Banks performing poorly in stress tests experience, on average, a reduction in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing moderately have rather a small effect on both mean and variance process. Our findings are corroborated by the observed rank correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase after each publication event. These results suggest that the publication of stress tests improves price discrimination between 'good' and 'bad' banks, which can be interpreted as a certification role of the stress tests in the stock market.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289952965
    Other identifier:
    hdl: 10419/269118
    Series: Working paper series / European Central Bank ; no 2711 (August 2022)
    Subjects: Stress tests; Financial stability; Stock markets; Excess return; Volatility
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  5. The dynamics of tax compliance
    Author: Pappadà, Francesco
    Published: [2022]
    Publisher:  Paris School of Economics, Paris

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 331
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Paris School of Economics ; no 2022, 13
    Subjects: Tax compliance; Volatility; Fiscal policy
    Scope: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  6. Energy dependency and long-run growth
    Author: Novelli, Giacomo
    Published: December 2022
    Publisher:  Fondazione Eni Enrico Mattei, Milano, Italia

    We investigate whether the degree of energy dependency of countries influences their macroeconomic performance in terms of long-run growth. Specifically, we study whether the impact of energy price changes on economic growth differs depending on a... more

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    We investigate whether the degree of energy dependency of countries influences their macroeconomic performance in terms of long-run growth. Specifically, we study whether the impact of energy price changes on economic growth differs depending on a country's degree of energy dependency. There are two novel aspects in this paper. First, all energy commodities are considered, not only oil, and second, our work goes beyond the standard distinction between energy importing and exporting countries. We claim that energy importing and exporting countries are too heterogeneous in terms of net energy imports, energy consumption, and level of development to be clustered and analysed together. Relying on a sample clusterization in groups of countries with a similar degree of energy dependency and using a cross-sectionally augmented panel autoregressive distributed lag (CS-ARDL) approach, we show that countries with a high degree of energy dependency are associated with a negative and significant long-run energy price elasticity of GDP, while countries with a low degree experience the opposite effect, and more balanced countries are less or not significantly affected. Moreover, we contribute to the resource curse paradox showing that the energy price volatility negatively affects the long-run economic growth of countries with a low degree of energy dependency, but it does not hamper the long-run growth of other countries. We argue that the impact of energy price changes differs across countries with a different degree of energy dependency and that a balanced degree of energy dependency is preferable. Therefore, we suggest major energy importers should reduce their degree of energy dependency, while major energy exporters may differentiate their energy production, avoiding to rely only on fossil sources. Renewable sources may be a key driver to improve the management of the degree of energy dependency.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/267507
    Series: Working paper / Fondazione Eni Enrico Mattei ; 2022, 42
    Subjects: Energy Price; Volatility; Energy Security; Economic Growth; Heterogeneous Panel; Institutions; Resource Curse
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  7. Safe havens, machine learning, and the sources of geopolitical risk
    a forecasting analysis using over a century of data
    Author: Gupta, Rangan; Karmakar, Sayar; Pierdzioch, Christian
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/7075
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 01 (January 2022)
    Subjects: Gold; Geopolitical Risk; Forecasting; Returns; Volatility; Random Forests
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  8. On the volatility of cryptocurrencies
    Author: Stengos, Thanasēs; Panagiōtidēs, Theodōros; Papapanagiotou, Georgios
    Published: [2022]
    Publisher:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Subjects: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen