Ditapis dengan
Revisiting Calendar Anomalies in Brics Countries
We use a generalized autoregressive conditional heteroskedasticity dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to 2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are investigated. The most striking day-of-the-week effect is fo…
- Edisi
- Volume 22, Number 2, 2019
- ISBN/ISSN
- 2460-9196
- Deskripsi Fisik
- 238 p.
- Judul Seri
- Bulletin of Monetary Economics and Banking
- No. Panggil
- -
Drivers of Illiquidity in the ASEAN Sovereign Bond Market
We study illiquidity in the ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the gross domestic product (GDP) growth rate. In contrast, illi…
- Edisi
- Volume 23, Number 4, 2020
- ISBN/ISSN
- 2460-9196
- Deskripsi Fisik
- 462 p.
- Judul Seri
- Bulletin Of Monetary Economics and Banking
- No. Panggil
- -
Drivers of illiquidity in the Asean sovereign bond market
We study illiquidity in the ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the gross domestic product (GDP) growth rate. In contrast, illi…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Revisiting calendar anomalies in brics countries
We use a generalized autoregressive conditional heteroskedasticity dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to 2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are investigated. The most striking day-of-the-week effect is fo…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Karya Umum 
Filsafat 
Agama 
Ilmu-ilmu Sosial 
Bahasa 
Ilmu-ilmu Murni 
Ilmu-ilmu Terapan 
Kesenian, Hiburan, dan Olahraga 
Kesusastraan 
Geografi dan Sejarah