Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 17 of 17 for “"Comovement"”.
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Essays on comovement
This thesis consists of three essays on comovement between individual stocks and the S&P 500 index, each constituting a separate chapter. These essays provide use with new angles to see the comovement. First, they find that comovement does not always change as people predict. Secondly, they find …
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Comovement and the News
… for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of news reports to their equity return correlation. I find that this measure of news similarity is just as important for predicting future cross-firm comovement as contemporaneous return …
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Another Look at Stock Return Comovement: Some New Evidence and Test
The study of the comovement between asset returns reflects an ongoing effort by economists to understand investment risk in financial markets. Building on previous findings, in the current thesis I provide some new evidence on this topic with a focus on large-cap stocks and highlight an innovative …
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Essays in Macroeconomics
… 3 "Inter-sector matching efficiency and sectoral comovement'' examines the comovement of sectoral labor markets when there is search friction in the inter-firm matching market. Chapter 4 "Lumpy investment and endogenous investment price'' (Joint work with Linxi Chen) studies the endogenous …
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Issues in technical efficiency measurement with an application to the domestic airline industry
… three literatures: technical efficiency, comovement and convergence. Using a panel data set of eleven domestic airlines followed quarterly from 1970 to 1990, time series technical efficiency scores are determined using the linear programming approaches of Data Envelopment Analysis and Free …
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Three Essays in Asset Pricing and Investment
… in rating labels have power impacts not only on comovement in bond prices but also volatility, liquidity, and trading. Comovements are magnified by interdealer trading to balance inventories and institutional trading to reach for yields. Importantly, rating-style investing induces return …
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Index revisions, market quality and the cost of equity capital.
… Finally, we report significant changes in the comovement of stock returns with the FTSE 100 index around the revision events. These changes are driven mainly by noise-related factors and partly by fundamental-related factors.
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Various Financial Aspects of Cryptocurrencies
… of cryptocurrencies. Subsequently, I look at comovements between nine major cryptocurren- cies and mark instability periods in cryptocurrency markets. I find out that cryptocurrency markets have gone through three phases of comovement evolution, and almost all cryptocur- rencies analyzed have …
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ESSAYS ON HOUSING INVESTMENTS IN EMERGING MARKETS
… quantitatively the model underestimates this comovement and the volatilities in housing investment in emerging markets. Furthermore, international interest rate shocks highly correlated with productivity shocks are very important in explaining the large swings in housing investment in emerging …
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Public debt and economic growth: empirical evidence from South Africa
… In the short run, self-variance of GDP growth comovement is almost 100%, which reduces to 91.79% percent in the long term. Aside from selfvariation, public debt induced no notable variation in bilateral co-movement in short term. In the long-run however, maximum variation of 8.22% is provided …
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Essays on Bayesian Macroeconometrics
… from downturn risk shocks produce the same comovement as those from ICS innovations in a structural vector autoregression. The second chapter, co-authored with Minchul Shin, proposes the multivariate stochastic volatility in vector autoregression model as a framework for studying the real …
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ESSAYS ON THE MACROECONOMIC IMPACTS OF ENERGY AND COMMODITY MARKETS
… that accounts for an increasing fraction of comovement in commodity prices over the past two decades, particularly for energy, metals, and precious metals; (ii) Results are heterogeneous across groups of commodities with group specific commodity cycles existing for grains and precious metals …
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ON GLOBAL LINKAGES OF ECONOMIES AND ECONOMIC INTEGRATION IN LATIN AMERICA
… bolivar. We find the evidence of high degree of comovement in the currency exchange rates of Latin both in the short-run and long run provide adequate grounds for monetary policy coordination. Our results further imply that the financial markets in the region are integrated and Latin American …
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Essays in macroeconomics : liquidity and taxation
… the pattern of fluctuations, creating additional comovement across sectors of economy and different assets. Likewise, the anticipation of variations in the internal liquidity of firms, resulting from shocks to their productivity, changes their choice of projects. For moderate liquidity scarcity, …
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Three essays on regional business cycle analysis
… of regional interdependency induced from the comovements of regional business cycles. Since each region is exposed to the region common shock, the degree of comovement of each region’s business cycle is strong, possibly exaggerating or biasing the effect of region specific shocks. The …
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Three Essays in Financial Econometrics
… interactions play a vital role in explaining comovement in equity returns. Chapter 3 studies peer groups of arbitrage characteristics. The details of the three chapters are summarized below: Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model This paper proposes a …
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Time-frequency domain analysis of exchange rate market integration in Southern Africa Development Community: A Hilbert-Huang Transform approach
… series except Angola. The short- and long-term comovement was analysed through the analysis of the characteristics of IMFs and residues. The analysis of the IMFs and residues obtained from EEMD showed that exchange rate markets in SADC are driven by economic fundamentals and 12 out of 15 …