Beta is found to be a function of several leading economic indicators and government policy variables within the context of the Variable Beta Model which incorporates economic characteristics in the single index model in a multiplicative manner. When contemporaneous macroeconomic descriptors are replaced with reporting-period-lagged macroeconomic descriptors, in the Lagged Variable Beta Model, ...

the development of the cyprus stock exchange together with the increasing trend of investors’ presence in financing activities has led to the importance of this market. in such circumstances, the first step towards a sustainable development of the exchange is to support the investors. risk of bankruptcy for the investee is a major challenge that an inexperienced stock investor encounters. in th...

Article history: Received 23 February 2012 Received in revised form 18 October 2012 Accepted 18 October 2012 Available online 24 November 2012 This study estimates a dynamic latent factor model of the yield curve for Canada using a newly constructed data series on the term structure of constant-maturity, zero-coupon interest rates. The state-space representation of the model is used to assess t...

The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX...

This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300 ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact ...

Like many in academia, Kocherlakota associates modern macroeconomics with a particular school of thought that takes something called the “Lucas critique” as its guiding principle. The Lucas critique refers to an argument put forth by the Nobel Prize-winning macroeconomist Robert Lucas about how the changing expectations of economic agents will confound forecasting and policy analysis based on m...

In this paper we re-analyze the nature of the trend (deterministic or stochastic) in the Nelson-Plosser macroeconomic data set from an alternative method relative to the previous studies. We underline the e ects of large, but infrequent shocks due to major economic or nancial events on U.S. macroeconomic time series, such as the Great Depression, World War II and recessions, using outlier metho...

China presents several macroeconomic patterns that appear inconsistent with standard stylized facts about economic development and hence inconsistent with the standard neoclassical growth model. We show that Chinese macroeconomic patterns instead appear consistent with an environment where state control of factor markets can promote aggressive output goals. We consider the micro-institutional f...

We investigate the impact of scheduled macroeconomic announcements to the volatility of exchange rates by introducing a flexible model with the following characteristics. For each macroeconomic index we estimate cutoff points in the surprise component of the announcement that specify the degree the volatility process is affected. This degree is quantified by a jump of unknown size that occurs b...

China presents several macroeconomic patterns that appear inconsistent with standard stylized facts about economic development and hence inconsistent with the standard growth model. We show that Chinese macroeconomic patterns instead appear consistent with an objective of maximizing output in non-competitive factor markets. In short, China appears to successfully follow the stated output object...