Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence
This study examines the financial market integration of emerging markets into international
financial markets with regards to the real interest rate parity hypothesis. We focus on …
financial markets with regards to the real interest rate parity hypothesis. We focus on …
The market timing ability and return performance of Islamic equities: An empirical study
N Mohammad, D Ashraf - Pacific-Basin Finance Journal, 2015 - Elsevier
This study investigates the determinants of return performance of Islamic equity indices
(IEIs). Empirical evidence suggests that the selection of securities and rebalancing of funds …
(IEIs). Empirical evidence suggests that the selection of securities and rebalancing of funds …
Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity
Purpose This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy,
Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology …
Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology …
Nonlinear earnings persistence
This study employs panel smooth transition regression (PSTR) models with different lagged
variables of earnings components as regressor to evaluate earnings persistence effects. The …
variables of earnings components as regressor to evaluate earnings persistence effects. The …
Kontrak Forward sebagai Lindung Nilai Risiko Fluktuasi Nilai Tukar, Apakah Efektif?
D Pangestuti - Owner: Riset Dan Jurnal Akuntansi, 2022 - owner.polgan.ac.id
Penelitian ini bertujuan untuk mengevaluasi penggunaan kontrak forward oleh PT Unilever
Indonesia Tbk sebagai instrumen derivatif. Data penelitian berupa kurs tengah untuk mata …
Indonesia Tbk sebagai instrumen derivatif. Data penelitian berupa kurs tengah untuk mata …
Testing for real interest rate parity using panel stationarity tests with dependence: a note
M Camarero, JL Carrion‐I‐Silvestre… - The Manchester …, 2009 - Wiley Online Library
In this paper we test for real interest parity (RIRP) among the 19 major OECD countries over
the period 1978: Q1–2006: Q1 using both short‐and long‐run definitions of interest rates …
the period 1978: Q1–2006: Q1 using both short‐and long‐run definitions of interest rates …
Financial integration of East Asian economies: evidence from real interest parity
In this article, we investigate the financial linkages between the East Asian economies with
Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an …
Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an …
Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries
KM Kisswani, SA Nusair - Economic Change and Restructuring, 2014 - Springer
We examine the dynamics of convergence in seven Asian countries for nominal and real
interest rates, and inflation rates. We test for convergence relative to the US and Japan …
interest rates, and inflation rates. We test for convergence relative to the US and Japan …
Does real interest rate parity really hold? New evidence from G7 countries
MJ Chang, CY Su - Economic Modelling, 2015 - Elsevier
The purpose of this study is to understand the fulfillment of the real interest rate parity (RIRP)
for G7 countries using panel data on short-term real interest rate differentials (RIRD). Two …
for G7 countries using panel data on short-term real interest rate differentials (RIRD). Two …
Asymmetry dynamics in real exchange rates: New results on East Asian currencies
AZ Baharumshah, VKS Liew, I Chowdhury - International Review of …, 2010 - Elsevier
This paper provides new evidence on the purchasing power parity (PPP) hypothesis in six
East Asian countries. Based on nonlinear unit root tests, we discovered that the results are …
East Asian countries. Based on nonlinear unit root tests, we discovered that the results are …