Observed versus theoretical prices under price limit regimes

Article Abstract:

A study of the relationship between observed and theoretical prices of exchange rates of stocks in price limit regime is presented. The effects of price limits on traders' behavior and rates of return expected by investors are analyzed. The presence of nonlinear S shaped relationship in asset prices is observed and analyzed. The study is based on one common stock and one futures contract.

Israel, Contracts & orders received, Contracts & orders let, Contracts, Futures market, Futures markets, Contract agreement

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Are the dynamic linkage between the macroeconomy and asset prices time-varying?

Article Abstract:

Usage of multivariate regime switching vector autoregression models, to find time variability of dynamic linkage between macroeconomy and financial markets is presented.

United Kingdom, Science & research, Research, Models, Usage, Financial markets, Macroeconomics, Autoregression (Statistics)

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Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle

Article Abstract:

The impact of equity premium structural breaks on stock price volatility is examined.

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