ÖZ
 Bu çalışmanın temel amacı BRICS ve MIST ülkelerine ait borsalar arasındaki getiri volatilite etkileşimi araştırmaktır. Çalışmada 04.01.2004 ile 29.12.2019 dönemine haftalık verileriyle VAR-EGARCH modeli kullanarak araştırma gerçekleştirilmiştir. Genel olarak ülkelerinin borsaları arasında olduğu tespit edilmiştir. Elde edilen bir diğer sonuç ise Çin, Güney Afrika Türkiye borsalarının a...

Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash holders will be driven out of the market in the long run by traders who only use a (risky) long-lived asse...

Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash holders will be driven out of the market in the long run by traders who only use a (risky) long-lived asse...

We examine the impact of retirement exibility and the constraint against borrowing from future labor income on optimal consumption, optimal investment, and optimal retirement policy. We solve three alternative models almost explicitly in parametric forms (up to at most a constant) and provide veri cation theorems for the claimed solutions. In addition, we also obtain analytical comparative stat...

We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth– moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value– ...

The purpose of this paper is to suggest a new theory of portfolio selection which is based on evolutionary reasoning in simple repeated market situations. According to this new point of view the ultimate success of a portfolio strategy is measured by the wealth share the strategy is eventually able to conquer in an evolutionary process of market selection. We identify a simple portfolio strateg...

Abstract We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity fundamental investors. find that exhibit skill in opening positions, but they close their positions too early, thereby forgoing about one-third trades’ potential profitability. explain this behavior with limits arbitrage: early order reallocate capital more prof...