Listing 1 - 3 of 3 |
Sort by
|
Choose an application
The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market. We found that firm-level stock price changes are positively related to the difference between a firm's local and world market betas. This result is robust to controlling for changes in expected earnings, country effects, and other controls, although the magnitude of the effect is not very large. The differences between local and world betas explain nearly 22 percent of the stock price increase.
Electronic books. -- local. --- Europe -- Economic integration. --- European Union -- Membership. --- Stocks -- Prices -- Econometric models. --- Finance: General --- Inflation --- Investments: Stocks --- Macroeconomics --- Financial Aspects of Economic Integration --- International Financial Markets --- Price Level --- Deflation --- General Financial Markets: General (includes Measurement and Data) --- Financial Markets and the Macroeconomy --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Finance --- Investment & securities --- Asset prices --- Stock markets --- Market capitalization --- Stocks --- Prices --- Financial markets --- Financial institutions --- Stock exchanges --- Financial services industry --- Hungary --- Econometric models. --- European Union --- Membership. --- Europe --- Economic integration.
Choose an application
This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically.
Stocks -- Prices -- Econometric models. --- Stocks -- Rate of return -- Econometric models. --- Econometrics --- Finance: General --- Investments: Stocks --- Macroeconomics --- Information and Market Efficiency --- Event Studies --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- General Financial Markets: General (includes Measurement and Data) --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Price Level --- Inflation --- Deflation --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Econometrics & economic statistics --- Investment & securities --- Finance --- Stocks --- Stock markets --- Factor models --- Asset prices --- Time series analysis --- Financial institutions --- Financial markets --- Econometric analysis --- Prices --- Stock exchanges --- Econometric models --- United States --- Rate of return --- Econometric models.
Choose an application
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Stocks --- Stock exchanges --- Day trading (Securities) --- Prices --- Econometric models --- 330.115 --- 336.76 --- -Stock exchanges --- -Day trading (Securities) --- -bourse --- marche des capitaux --- modeles economiques --- AA / International- internationaal --- 333.613 --- 305.970 --- 305.8 --- 307.331 --- 304.2 --- Daytrading (Securities) --- Electronic trading of securities --- Bulls and bears --- Commercial corners --- Corners, Commercial --- Equity markets --- Exchanges, Securities --- Exchanges, Stock --- Securities exchanges --- Stock-exchange --- Stock markets --- Capital market --- Efficient market theory --- Speculation --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Securities --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Econometrie --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- -Econometric models --- beurs --- kapitaalmarkt --- economische modellen --- Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Econometrie van de investeringen, het gedrag van de onderneming. --- Statistieken van de noteringen van de effecten. --- Trendanalyse. Tendenties van lange duur. --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- 330.115 Econometrie --- bourse --- Prices&delete& --- Trendanalyse. Tendenties van lange duur --- Econometrie van de investeringen, het gedrag van de onderneming --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Statistieken van de noteringen van de effecten --- Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties --- Econometrics. --- International economics. --- Economic theory. --- Finance. --- International Economics. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Finance, general. --- Funding --- Funds --- Economics --- Currency question --- Economic theory --- Political economy --- Social sciences --- Economic man --- Economic policy, Foreign --- Economic relations, Foreign --- Economics, International --- Foreign economic policy --- Foreign economic relations --- Interdependence of nations --- International economic policy --- International economics --- New international economic order --- Economic policy --- International relations --- Economic sanctions --- Economics, Mathematical --- Statistics --- Stocks - Prices - Econometric models --- Stock exchanges - Econometric models --- Day trading (Securities) - Econometric models
Listing 1 - 3 of 3 |
Sort by
|