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Rashid Sbia,Helmi Hamdi,Bedri Kamil Onur Tas,Sahel Al Rousane
Pág. 629 - 639
The aim of this paper is to analyze the effect of monetary policy on stock returns and stock return variability in the Gulf Cooperation Council (GCC) Countries namely; Bahrain, Kuwait, Oman, Qatar and Saudi Arabia (United Arab Emirates was excluded for n...
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Matloob Ullah Khan,Ambrish Gupta,Sadaf Siraj
Pág. 87 - 98
The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of ne...
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Ajmalud Din, Rozina Gul, Hamayoon Khan, Julian Garcia-Abadillo Velasco, Reyna Persa, Julio Isidro y Sánchez and Diego Jarquin
Chickpea is the second most important legume crop in pulses, and its performance is greatly influenced by environmental factors inducing a change in the response patterns, complicating the selection of the best cultivar(s). The genotype-by-environment (G...
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Ali Trabelsi Karoui,Aida Kammoun
Pág. 89 - 106
This paper represents a new approach in the exchange rate determination by using microstructural and macroeconomic variables. We test a combination of fundamentals and microstructure variables in cointegrated relationship of the USD/JPY and USD/GBP curre...
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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Kalai Lamia,Kasraoui Naziha
Pág. 160 - 168
The aim of this paper is to study financial integration between emerging MENA countries and developed countries. We study short-term price series dynamics using Johansen's (1991) multivariate cointegration test to determine the number of cointegration ve...
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Nidhi Malhotra,Saumya Gupta
Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl...
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Sisili Rahman,Biplab Das,Tazrina Farah
Pág. 76 - 83
This paper seeks to identify the spillover effect of remittance and private sector credit disbursement, on the capital market and real estate of Bangladesh during the period of 2003-2013. The paper applied Vector Auto regression and Cholesky Factorizatio...
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Ozkan Haykir
Pág. 148 - 153
In this paper, I investigate a recent asset pricing anomaly proposed by Bali et al. (2011) in the Turkish stock markets during the period between January 2011 and December 2017 using univariate and bivariate sorting methodologies. Bali et al. (2011) sugg...
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I. Made Suidarma,Yulia Indrawati,I. Gusti Nengah Darma Diatmika,I. Nyoman Anggaradana
Pág. 299 - 306
The objective of this research is to analyze the indicators that cause vulnerability to financial system stability in Indonesia. The data used in this research is secondary data monthly with a range of 2006.1 to 2015.6. The method were used in this study...
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Zi-Yi Guo
Pág. 507 - 512
The so-called ?foreign exchange rate determination puzzle? has been a hard topic in international finance for several decades. The puzzle illustrates the weak explanatory power of macroeconomic-based models of the nominal exchange rate fluctuations. We i...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 415 - 425
The asset correlation is a key regulatory parameter in the calculation of the capital charge for credit risk under the second Baselagreement. This parameter has been set in a uniform manner for all banking institutions wishing to integrate the Baselframe...
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Vasile Bratian,Claudiu Opreana,Amelia Bucur
Pág. 307 - 316
The paper presents, theoretically and practically, the evaluation of the stock quote using the stochastic technique, market efficiency and the technical analysis, and the object of the study is the stock quote of Electrica SA, listed on the Bucharest Sto...
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Ahmed Bouteska,Boutheina Regaieg
Pág. 208 - 214
This paper aims to investigate the effect of financial analysts? recommendations on the overconfidence and over or under-reaction to previous years? earnings, as well as their impact on investment decisions in the Tunisian stock market. Literature mostly...
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Andre Tomfort
Pág. 46 - 55
Asset price bubbles and deep financial crises have occurred frequently over the past three decades. No wonder that decision makers are searching for ways to protect their economies. Recognizing price bubbles in time could be very helpful in this regard t...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
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Adil EL Fakir,Mohamed Tkiouat
Pág. 221 - 230
In Islamic banking, the offering of a Mudaraba contract to a privately informed agent results in adverse selection. In incentive theory, a hypothesis is that the seller, in our case the Islamic bank, may offer different menu of contracts to separate non-...
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Mansoor Maitah,Petr Procházka,Michal Cermak,Karel ?rédl
Pág. 176 - 178
This paper is focused on evaluating the trading rule of indicator Commodity Channel Index, using selected agricultural commodities. The reason of testing is that this indicator is calculated with respect to fluctuation of commodity market ? volatility. T...
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Monira Essa Aloud
Pág. 87 - 95
An event-based framework of directional changes and overshoots maps financial market price time series into the so-called Intrinsic Time where events are the time scale of the price time series. This allows for multi-scale analysis of financial data. &nb...
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Rangga Handika,Sigit Triandaru
Pág. 6 - 9
This paper investigates Value-at-Risk (VaR) in the Australian interconnected power markets. We model the price change using seven different volatility models and perform the back testing from both investors? (sellers? side) and retailers? (buyers? side) ...
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