On alternative interest rate processes
Article Abstract:
The generalized method of moments (GMM) was used to analyze alternative interest rate processes for Denmark, Germany, Sweden and the UK. The study confirmed previous studies suggesting the existence of a positive relationship between interest rate level and volatility. Contrary to earlier studies, however, the results showed that mean-reversion greatly influences the specification of the interest rate dynamics. Moreover, the results indicated that different moment conditions can be used to capture non-fitted moments in GMM testing.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
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A note on foreigners' trading and price effects across firms
Article Abstract:
The impact of foreign investors on the cost of equity capital across firms when the Swedish equity market was opened up to foreign investors is studied. The results show that foreigners' net purchases are combined with increases in prices, and the analysis further suggests that foreigners are uninformed feedback traders.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
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Intraday price reversal
Article Abstract:
There is a tendency for stock index futures prices to show reverse trends in between the day following large variation in prices in the open market. The conclusion is based on the intraday price reversals observed over a 15-year period i.e., from November 1987 to September 2002.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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