#FinancialMarkets – Working papers (#RePEc, 07/04/2014)

working_papers1

Source: RePEc – EconPapers

The Stock Exchange of Suriname: Returns, Volatility, Correlations and Weak-form Efficiency
Denice Bodeutsch and Philip Hans Franses 
Erasmus University Rotterdam, Erasmus School of Ec…
Keywords: emerging markets, developing countries, returns, volatility, market weak-form efficiency
JEL-code: G15 G14
Created/Revised: 2014-02-01Downloads

Reforming the international monetary system in the 1970s and 2000s: would an SDR substitution account have worked?
Robert N McCauley and Catherine R Schenk 
Bank for International Settlements
Keywords: Special Drawing Right, substitution account, reserve currency, foreign exchange reserves; Internatio…
Created/Revised: 2014-03Downloads

Predicting market instability: New dynamics between volume and volatility
Zeyu Zheng, Zhi Qiao, Joel N. Tenenbaum, H. Eugene Stanley and Baowen Li 
arXiv.org
Created/Revised: 2014-03Downloads

Impact Of Short Selling Activity On Market Dynamics: Evidence From An Emerging Market
Cihat Sobaci, Ahmet Şensoy and Mutahhar Erturk 
Research Department of Borsa Istanbul
Keywords: short selling, contrarian trading, nancial stability, market quality, dynamic conditional correlatio…
JEL-code: C51 G11 G14 G18
Created/Revised: 2014-02Downloads

Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan
Asif Mahmood 
University Library of Munich, Germany
Keywords: monetary policy, volatility, yield curve, GARCH
JEL-code: E4 E5 G1
Created/Revised: 2014-03-09Downloads

Global financial stability – the road ahead
William Dudley 
Federal Reserve Bank of New York
Keywords: global financial system; shadow banking; global systemically important financial institutions(G-SIFI…
JEL-code: F30 G28
Created/Revised: 2014-02-26Downloads

Empirical properties of inter-cancellation durations in the Chinese stock market
Gao-Feng Gu, Xiong Xiong, Wei Zhang, Yong-Jie Zhang and Wei-Xing Zhou 
arXiv.org
Created/Revised: 2014-03Downloads

Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches
Gazi Salah Uddin, Mohamed Arouri and Aviral Kumar Tiwari 
Department of Research, Ipag Business School
Keywords: DCC-GARCH; Co-movement; Wavelet coherence; Germany
JEL-code: G15 C40 F30
Created/Revised: 2014-02-25Downloads

Liquidity policies and systemic risk
Tobias Adrian and Nina Boyarchenko 
Federal Reserve Bank of New York
Keywords: liquidity regulation; systemic risk; DSGE; financial intermediation
JEL-code: E02 E32 G00 G28
Created/Revised: 2014-12-01Downloads

10 Rating Agencies
Harold Linh Cole and Thomas F. Cooley 
National Bureau of Economic Research, Inc
JEL-code: G1 G24
Created/Revised: 2014-03Downloads

11 Estimating the Risk-Return Trade-off with Overlapping Data Inference
Esben Hedegaard and Robert James Hodrick 
National Bureau of Economic Research, Inc
JEL-code: G12
Created/Revised: 2014-03Downloads

Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti 
arXiv.org
Created/Revised: 2014-03Downloads

Competing for order flow in OTC markets
Benjamin Lester, Guillaume Rocheteau and Pierre-Olivier Weill 
Federal Reserve Bank of Philadelphia
Keywords: Over-the-counter markets; OTC Markets; Order Flow;
Created/Revised: 2014-03-13Downloads

The Stock Market, the Real Economy and Contagion
Dirk G. Baur and Isaac Miyakawa 
Finance Discipline Group, UTS Business School, Uni…
Keywords: global stock markets; real economic activity; predictive regressions; contagion; financial crises; c…
JEL-code: C22 C32 E44 G01 G14 G15 G18
Created/Revised: 2014-01-01Downloads

A Hybrid Model for Pricing and Hedging of Long Dated Bonds
Jan Baldeaux, Man Chung Fung, Katja Ignatieva and Eckhard Platen 
Quantitative Finance Research Centre, University o…
Keywords: Long dated bond pricing; stochastic interest rate; growth optimal portfolio; nonparametric kernel
Created/Revised: 2014-03-01Downloads

Do global factors impact BRICS stock markets? A quantile regression approach
Walid Mensi, Shawkat Hammoudeh, Juan Carlos Reboredo and Duc Khuong Nguyen 
Department of Research, Ipag Business School
Keywords: Asymmetric dependence; global factors; BRICS; global financial crisis; quantile regression.
JEL-code: G14 G15
Created/Revised: 2014-02-25Downloads

Financial market regulation in Germany under the special focus of capital requirements of financial institutions
Daniel Detzer 
The European Association for Banking and Financial…
Keywords: Banking Regulation,Financial Regulation,Capital Requirements,Capital Adequacy,Bank Capital,Basel Acc…
JEL-code: G18 G28 N24 N44
Created/Revised: 2014Downloads

Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution
Mona Kamal 
University Library of Munich, Germany
Keywords: The Egyptian Exchange (EGX), the Efficient Market Hypothesis (EMH).
JEL-code: G1 G14
Created/Revised: 2014-03-23Downloads

Descriptive analysis of the Finnish stock market: Part II
Peter Nyberg and Mika Vaihekoski 
Bank of Finland
Keywords: stock market; financial history; dividend yield; capitalization values; trading turnover; Finland; H…
JEL-code: G10 G11 N24
Created/Revised: 2014-03-14Downloads

Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?
James Brugler and Oliver Linton 
Centre for Microdata Methods and Practice, Institu…
Created/Revised: 2014-02Downloads

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