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Financial Market Volatility and the Implications for Market Regulation: A Survey

Financial Market Volatility and the Implications for Market Regulation: A Survey »

Source: Financial Market Volatility and the Implications for Market Regulation : A Survey

Volume/Issue: 1990/112

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451944594

Keywords: stock market, stock prices, bond, stock index futures, futures markets

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent yea...

Comovements in National Stock Market Returns

Comovements in National Stock Market Returns »

Source: Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Volume/Issue: 1996/28

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844610

Keywords: cointegration, predictability, statistics, stock market, stock prices

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymp...

Stock Returns and Output Growth in Emerging and Advanced Economies

Stock Returns and Output Growth in Emerging and Advanced Economies »

Source: Stock Returns and Output Growth in Emerging and Advanced Economies

Volume/Issue: 2000/89

Series: IMF Working Papers

Author(s): Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2000

ISBN: 9781451851274

Keywords: Leading indicators, emerging markets, stock returns, stock market, correlation, stock price, statistics

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market econom...

Macroeconomic News and Stock Returns in the United States and Germany

Macroeconomic News and Stock Returns in the United States and Germany »

Source: Macroeconomic News and Stock Returns in the United States and Germany

Volume/Issue: 2002/239

Series: IMF Working Papers

Author(s): Norbert Funke , and Akimi Matsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875782

Keywords: macroeconomic news, news, stock prices, stock market, stock returns, Financial Markets and the Macroeconomy, Country and Industry Studies of Trade,

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypothe...

Winner-Loser Reversals in National Stock Market Indices

Winner-Loser Reversals in National Stock Market Indices »

Source: Winner-Loser Reversals in National Stock Market Indices : Can they Be Explained?

Volume/Issue: 1997/182

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1997

ISBN: 9781451859232

Keywords: International equity pricing, winner&;amp;#x2013;loser reversals, contrarian strategies, stock market, stock market indices, constant term, predictability, stock markets

This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner co...

Corporate Balance Sheet Restructuring and Investment in the Euro Area

Corporate Balance Sheet Restructuring and Investment in the Euro Area »

Source: Corporate Balance Sheet Restructuring and Investment in the Euro Area

Volume/Issue: 2003/117

Series: IMF Working Papers

Author(s): Albert Jaeger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854039

Keywords: Corporate investment and financing, business cycle, capital stock, financial assets, cost of capital, stock market, capital markets, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

The recent boom-bust cycle in the euro area's equity valuations has left nonfinancial corporations saddled with a legacy of high debt or leverage. Models of corporate investment behavior based on imperfect capital...

New Economy Stock Valuations and Investment in the 1990s

New Economy Stock Valuations and Investment in the 1990s »

Source: New Economy Stock Valuations and Investment in the 1990s

Volume/Issue: 2001/78

Series: IMF Working Papers

Author(s): Torsten Sloek , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451850109

Keywords: real investment, new economy, stock market, stock market capitalization, stock valuations, stock prices, Macroeconomics: Consumption, Saving, Production, Employment

This paper investigates whether there is a different impact from changes in "new" and "old" economy stock valuations on private investment for seven OECD economies. A vector autoregressive model is estimated for ea...

Financial Market Volatility and the Implications for Market Regulation
			: A Survey

Financial Market Volatility and the Implications for Market Regulation : A Survey »

Volume/Issue: 1990/112

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

DOI: http://dx.doi.org/10.5089/9781451944594.001

ISBN: 9781451944594

Keywords: stock market, stock prices, bond, stock index futures, futures markets

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent yea...

Comovements in National Stock Market Returns
			: Evidence of Predictability But Not Cointegration

Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration »

Volume/Issue: 1996/28

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

DOI: http://dx.doi.org/10.5089/9781451844610.001

ISBN: 9781451844610

Keywords: cointegration, predictability, statistics, stock market, stock prices

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymp...

Stock Returns and Output Growth in Emerging and Advanced Economies

Stock Returns and Output Growth in Emerging and Advanced Economies »

Volume/Issue: 2000/89

Series: IMF Working Papers

Author(s): Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2000

DOI: http://dx.doi.org/10.5089/9781451851274.001

ISBN: 9781451851274

Keywords: Leading indicators, emerging markets, stock returns, stock market, correlation, stock price, statistics

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market econom...