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AbstractIn this paper we set out to test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. The purpose of this analysis is not to identify the most...
The endogeneity problem has always been one, if not the only, obstacle to understanding the true relationship between different aspects of empirical corporate finance. Variables are typically endogenous, instruments are scarce, and causality relations are complicated. As the first attempt to...
This study utilises a smooth transition vector error correction model with a Generalised AutoRegressive Conditional Heteroskedasticity GARCH model to investigate the price-discovery and non-linear dynamics at different times when a deviation occurs in the co-movement equilibrium between the spot...
The effect of different-shaped yield curves on the effectiveness of bond immunisation was investigated. Bonds were priced using historical yield curves of various shapes and simulated interest rate shocks applied. The resulting end-values of these bonds were calculated and compared at relevant...
The present study investigates the relation between trade openness and stock market volatility in the ASEAN-5 countries, using data of the composite price indices and trade openness in these countries from 1990 to 2013. A two-step methodology is employed. Firstly, the volatilities of stock...
Using all of individuals’ transactions on the Korean stock exchange from 1999 to 2009, I find that Korean individuals engage in negative feedback trading in market trades and positive feedback trading in limit trades. These patterns are stronger for smaller stocks and during down-market. These...
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