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To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

Abstract

The paper investigates mean and volatility spillover effects from the U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from the US-global, EU-regional, and the world factor oil towards individual stock markets. While both mean and volatility spillover transmissions from the US are found to be significant, EU mean spillover effects are negligible. To evaluate the magnitude of volatility spillovers, the variance ratios are also computed and the results draw to attention that the individual emerging countries’ stock returns are mostly influenced by the U.S volatility spillovers rather than EU or oil markets. Additionally, examination of only global and regional stock markets spillover transmissions into European stock markets also confirms the dominating presence of the U.S spillover transmissions. Furthermore, I also implement asymmetric tests on stock returns of eight markets. The stock market returns of Hungary, Poland, Russia and the Ukraine are found to respond asymmetrically to negative and positive shocks in the US stock returns. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play the key role in explaining the spillover parameters rather than total trade to GDP ratios in most investigated countries.

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Numerical Analysis Of Buckling Of Von Mises Planar Truss

Abstract

A computational algorithm of a discrete model of von Mises planar steel truss is presented. The structure deformation is evaluated by seeking the minimal potential energy. The critical force invented by mathematical solution was compared with solution by computer algorithm. Symmetric and asymmetric effects of initial shape of geometric imperfection of axis of struts are used in model. The shapes of buckling of von Mises planar truss of selected vertical displacement of top joint are shown.

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Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange

Abstract

This paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

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Monetary Policy in Poland – How the Financial Crisis Changed the Central Bank’s Preferences

Working Papers No. 149. Svensson, L.E.O. (2010, February). Inflation Targeting After the Financial Crisis . Speech at the International Research Conference “Challenges to Central Banking in the Context of Financial Crisis”, Mumbai. Sznajderska, A. (2014). Asymmetric Effects in the Polish Monetary Policy Rule. Economic Modelling, 36 (2014), 547-556. Taylor, J.B. (1993). Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39(1), 195-214. Vašíček, B. (2010). The Monetary Policy Rules and the

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Determinants of Kosovo Trade: A Gravity Model Approach

Trade Agreements in the Enlarged European Union. European Journal of Comparative Economics 2 (2): 245-260. Depken, C.A. and Sonora, R.J. 2005. Asymmetric Effects of Economic Freedom on International Trade Flows. International Journal of Business and Economics 4(2): 141-155. Duc, C., Lavallee, E. and Siroen, J.-M. 2008. The Gravity of Institutions. Economie Internationale 113:95-113. Eaton, J. and Kortum, S. 1997. Technology and Bilateral Trade. NBER Working Paper No. 6253

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Multiple Breakpoint Test on Crude Oil Price

and Asymmetric Cointegration Models. Journal of the Asia Pacific Economy , 19, pp.409-422. [16] Mallik, G., Chowdhury, A., 2001. Inflation and Economic Growth: Evidence from Four South Asian Countries. Asia-Pacific Development Journal , 8, pp.123-135. [17] Phoong, S.W., Phoong, S.Y. and Sulaiman, A., 2018. Asymmetric Effects of the Effect of Oil Price on Stock Markets in Four Asian Countries: Markov Switching Analysis. The Journal of Social Sciences Research , 6(S), pp.423-428. [18] Phoong, S.W., Phoong, S.Y., 2017. Modelling the Economic Cycle

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Monetary Transmission Channel, Oil Price Shock and the Manufacturing Sector in Nigeria

Issue No. 49, 1–29. Jimenez-Rodriguez, R., Sanchez, M. (2005). Oil shocks and real GDP growth: Empirical evidence from OECD countries. Applied Economics , 37 (45), 210–228. Karame, F., Olmedo, A. (2002). The asymmetric effects of monetary policy shocks: A nonlinear structural VAR approach . University of Paris, Preliminary MimeoVersion. Kashyap, A.K., Stein, J.C. (2000). What Do a Million Observations on Banks Say about the Transmission of Monetary Policy? American Economic Review , 90 (3), 407–428. Kayode, A. (2000). Basic Economic

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Differences in Motivation of Health Care Professionals in Public and Private Health Care Centers

.1186/1478-4491-4-6. Martínez, D. H., Vásquez Navarrete, M. L., & Vagras Loren-zo, I. (2009). Factors influencing coordination among healthcare levels according to the opinion of healthcare managers and health professionals. Gaceta sanitaria, 23(4), 280-286. DOI:10.1016/j.gaceta.2008.05.001. Maslow, A. H. (1943). A Theory of Human Motivation. Psychological Review, 50 (4), 370-396. Matzle, K., & Renzl, B. (2007). Assessing asymmetric ef-fects in the formation of employee satisfaction. Tourism Management, 28(4), 1093-1103. DOI: 10.1016/j. tourman.2006.07.009. Robbins, S. P

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Causes of The Outbreak of the Eurozone Crises: The Role of the Usa and the European Central Bank Monetary Policy

Schalack Ch., 2012, Coordination of Fiscal Policies: A Necessary Step toward a Fiscal Union, „CESifo Forum” nr 1, opublikowano na: http://ideas.repec.org/a/ces/ifofor/v13y2012i1p24-27.html Schiu-Scheng Han, 2009, Does Monetary Policy Have Asymmetric Effects on Stock Returns?, Journal of Money, Credit and Banking, Blackwell Publishing vol. 39, opublikowano na: http://ideas.repec.org/a/mcb/jmoncb/v39y2007i2-3p667-688.html Traktat o stabilności, koordynacji i zarządzaniu, opublikowany na: http://european-council.europa.eu/media/639256/16-tscg

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Are Central Banks in CEE Countries Concerned about the Burden of Public Debt?

No. 16, Banque de France, Paris. Sims C. (1994), A simple model for the determination of the price level and the interaction of monetary and fiscal policy , ‘Economic Theory’, Springer, Vol. 4, No. 3. Sims C. (2001), Fiscal consequences for Mexico of adopting the dollar , ‘Journal of Money, Credit and Banking’, Wiley, Vol. 33, No. 3. Sznajderska A. (2014), Asymmetric effects in the Polish monetary policy rule , ‘Economic Modelling’, Elsevier, Vol. 36, Issue C. Taylor J.B. (1993), Discretion versus policy rules in practice , ‘Carnegie

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