Martin T. Bohl

University of Muenster

Schlossplatz 2

D-48149 Muenster, D-48149

Germany

SCHOLARLY PAPERS

49

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CITATIONS
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94

Scholarly Papers (49)

1.

The Gold Price in Times of Crisis

Number of pages: 32 Posted: 02 Dec 2010 Last Revised: 03 Aug 2013
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Münster and Open University, UK
Downloads 1,583 (10,558)
Citation 5

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Gold Price, Speculative Bubble, Markov Regime-Switching ADF Test, World Financial Crisis, European Sovereign Debt Crisis

2.

Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets

Number of pages: 53 Posted: 05 Jan 2012 Last Revised: 11 Dec 2012
Martin T. Bohl and Patrick M. Stephan
University of Muenster and University of Münster
Downloads 813 (28,897)
Citation 3

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Futures Speculation, Spot Price Volatility, Agricultural and Energy Commodities

3.

Momentum Profits, Market Cycles, and Rebounds: Evidence from Germany

Quarterly Review of Economics and Finance, Vol. 61, 2016
Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 31 Jul 2016
Martin T. Bohl, Marc-Gregor Czaja and Philipp Kaufmann
University of Muenster, Allianz Investment Management and University of Muenster
Downloads 710 (34,790)

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Price and Earnings Momentum, Bull and Bear Markets, Market Rebounds, Momentum Crashes, Time-Varying Performance Measurement

4.

Institutional Traders' Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors

The Pensions Institute Discussion Paper No. PI-0310
Number of pages: 35 Posted: 22 Sep 2003
Martin T. Bohl and Svitlana Voronkova
University of Muenster and Centre for European Economic Research (ZEW)
Downloads 437 (65,001)
Citation 6

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Pension funds, Herding, Feedback trading, Polish stock market

5.

Short Selling Bans and Institutional Investors' Herding Behavior: Evidence from the Global Financial Crisis

Number of pages: 29 Posted: 23 Jan 2011 Last Revised: 11 Oct 2011
Pierre L. Siklos, Martin T. Bohl and Arne Klein
Wilfrid Laurier University - School of Business & Economics, University of Muenster and University of Muenster
Downloads 436 (65,181)
Citation 1

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Short Selling Ban, Herding, Herding Measure, Bootstrapping

6.

Institutional Investors and Stock Market Efficiency: The Case of the January Anomaly

European University Viadrina Postgraduate Research Programme Working Paper
Number of pages: 31 Posted: 18 Apr 2006
University of Muenster, Auckland University of Technology - Business School - Department of Finance, European University Viadrina, Frankfurt (Oder) and UniCredit Tiriac Bank
Downloads 436 (65,181)
Citation 3

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Institutional traders, individual investors, January effect, Polish and Hungarian pension fund investors

7.

Return Performance and Liquidity of Cross-Listed Central European Stocks

Number of pages: 23 Posted: 30 May 2003
Martin T. Bohl and Piotr Korczak
University of Muenster and University of Bristol - Department of Finance and Accounting
Downloads 409 (70,495)

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international cross-listing, Central European stocks, Depository Receipts

8.

What Drove the Mid-2000s Explosiveness in Alternative Energy Stock Prices? Evidence from U.S., European and Global Indices

International Review of Financial Analysis, Vol. 40, 2015
Number of pages: 39 Posted: 04 Jan 2014 Last Revised: 13 Jun 2015
Martin T. Bohl, Philipp Kaufmann and Pierre L. Siklos
University of Muenster, University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 396 (73,189)

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Alternative Energy Stocks, Performance Measurement, Asset Price Bubbles, Explosive Price Behavior, Right-Tailed Unit Root Tests

9.

Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey

Emerging Markets Review, Vol. 15, 2013
Number of pages: 44 Posted: 22 Dec 2011 Last Revised: 02 May 2013
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Muenster and Open University, UK
Downloads 300 (100,142)

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Mutual Fund Performance, Ramadan Effect, Calendar Anomaly, Investor Sentiment, Behavioral Finance, Emerging Markets

10.

Do Central Banks React to the Stock Market? The Case of the Bundesbank

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 08 Nov 2003
Martin T. Bohl, Pierre L. Siklos and Thomas Werner
University of Muenster, Wilfrid Laurier University - School of Business & Economics and European Central Bank (ECB)
Downloads 297 (101,297)
Citation 3

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Stock Prices, Monetary Policy, Reaction Function, Deutsche Bundesbank, Identification, Simultaneity

11.

Discount or Premium? New Evidence on Corporate Diversification of UK Firms

Number of pages: 32 Posted: 11 May 2006
Martin T. Bohl and Rozalia Pal
University of Muenster and UniCredit Tiriac Bank
Downloads 288 (104,753)

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Corporate diversification, UK market, Endogenous diversification decision, Firm characteristics

12.

From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks

Energy Economics, Vol. 37, 2013
Number of pages: 34 Posted: 16 Mar 2012 Last Revised: 12 Nov 2014
Martin T. Bohl, Philipp Kaufmann and Patrick M. Stephan
University of Muenster, University of Muenster and University of Münster
Downloads 279 (108,340)

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Renewable Energy Stocks, Performance Measurement, Speculative Bubbles, Sup ADF Test, Markov Regime-Switching ADF Test

13.

Financial Contagion Vulnerability: A Comparison of European Capital Markets

Postgraduate Research Programme Working Paper No. 5/2003
Number of pages: 18 Posted: 24 Nov 2003
Dobromil Serwa and Martin T. Bohl
European University Viadrina Frankfurt (Oder) - Department of Economics and University of Muenster
Downloads 226 (134,410)

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Financial Contagion, financial crises, Western, Central and Eastern European stock markets, adjusted correlation coefficient

The Present Value Model of Us Stock Prices Redux: A New Testing Strategy and Some Evidence

Number of pages: 31 Posted: 25 Jan 2003
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 205 (147,250)
Citation 1

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Present Value Model, US Stock Prices, Asymmetric Adjustment, Cointegration

The Present Value Model of Us Stock Prices Redux: A New Testing Strategy and Some Evidence

Quarterly Review of Economics and Finance, Forthcoming
Posted: 08 Dec 2003
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics

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Present Value Model, US Stock Prices, Asymmetric Adjustment, Cointegration

15.

Are Short Sellers Positive Feedback Traders? Evidence from the Global Financial Crisis

Journal of Financial Stability, Forthcoming
Number of pages: 33 Posted: 05 Sep 2011 Last Revised: 01 Dec 2012
University of Muenster, University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 190 (158,242)

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Short Selling Ban, Short Sales, Feedback Trading, Financial Crisis

16.

Short Sale Constraints and the Likelihood of Crashes and Bubbles

Number of pages: 20 Posted: 22 Oct 2011 Last Revised: 01 Mar 2012
Arne Christian Klein and Martin T. Bohl
University of Muenster and University of Muenster
Downloads 189 (159,062)

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Short Selling Ban, Crashes, Bubbles, Kurtosis, Markov Switching GARCH

17.

International Evidence on the Democrat Premium and the Presidential Cycle Effect

North American Journal of Economics and Finance, Forthcoming
Number of pages: 25 Posted: 18 Apr 2006
Martin T. Bohl and Katrin Gottschalk
University of Muenster and Auckland University of Technology - Business School - Department of Finance
Downloads 156 (188,083)

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Stock market efficiency, stock market anomalies, presidential cycle, Democrat premium, panel analysis

18.

Testing for Financial Spillovers in Calm and Turmoil Periods

EFMA 2004 Basel Meetings Paper
Number of pages: 32 Posted: 09 May 2004
University of Muenster, European University Viadrina Frankfurt (Oder) - Department of Economics and University of Canterbury - Department of Economics and Finance
Downloads 153 (191,245)

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Financial spillovers, Markov switching models, capital markets, financial crisis

19.

The Quality of Floor and Electronic Trading Systems Directly Compared: Evidence from a Natural Experiment on the German Stock Market

Number of pages: 16 Posted: 23 Aug 2006
Christiane Goodfellow and Martin T. Bohl
University of Muenster and University of Muenster
Downloads 152 (192,284)
Citation 1

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Informed Trading, After-hours Trading, Exchange Regulation

20.

The Case for Herding is Stronger than You Think

Number of pages: 22 Posted: 21 Jan 2015 Last Revised: 18 Feb 2015
Martin T. Bohl, Nicole Branger and Mark M. Trede
University of Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Faculty of Economics
Downloads 149 (195,454)

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Measuring Herding Behaviour, Cross-Sectional Deviation of Stock Returns, US Stock Market

The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure

Number of pages: 31 Posted: 12 Nov 2002
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 118 (235,795)

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Term Structure, Threshold Cointegration, Asymmetric Adjustment, Inflation Targeting Policy of the Bundesbank

The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure

Review of International Economics, Vol. 12, No. 3, pp. 495-508, August 2004
Number of pages: 14 Posted: 01 Sep 2004
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 31 (471,990)
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The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure

Review of International Economics, Forthcoming
Posted: 03 Jun 2004
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics

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Pension Funds' Performance in Strongly Regulated Industries in Central Europe: Evidence from Poland and Hungary

Number of pages: 24 Posted: 06 Dec 2009
University of Muenster, University of Muenster and Centre for European Economic Research (ZEW)
Downloads 77 (313,497)

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Pension fund management, investment and performance regulation, performance measurement, Central European stock markets, Emerging Markets

Pension Funds' Performance in Strongly Regulated Industries in Central Europe: Evidence from Poland and Hungary

ZEW - Centre for European Economic Research Discussion Paper No. 10-076
Number of pages: 28 Posted: 18 Dec 2010
University of Muenster, University of Muenster and Centre for European Economic Research (ZEW)
Downloads 70 (331,280)

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Pension fund management, investment and performance regulation, performance measurement, Central European stock markets, Emerging Markets

23.

Individual Investors Surpass Their Reputation: Market Efficiency on the Polish Futures Market

Number of pages: 26 Posted: 06 Feb 2008
University of Muenster, University of Muenster and University of Canterbury - Department of Economics and Finance
Downloads 138 (207,945)

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24.

Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets

BOFIT Discussion Paper No. 20/2009
Number of pages: 37 Posted: 08 Dec 2009
Martin T. Bohl, Michael Schuppli and Pierre L. Siklos
University of Muenster, University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 123 (227,501)
Citation 1

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Institutional Investors, Individual Investors, Stock Return Seasonalities, Chinese Stock Markets, GARCH Model

25.

Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan

Paolo Baffi Centre Research Paper No. 2011-88
Number of pages: 33 Posted: 01 May 2011
Martin T. Bohl, Badye Essid and Pierre L. Siklos
University of Muenster, HEC Montreal - Institute of Applied Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 105 (255,029)

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Short-Selling Bans, Taiwanese Stock Market, Asymmetric GARCH Models, Markov Switching Models

26.
Downloads 101 (261,881)
Citation 4

Policy Words and Policy Deeds: The ECB and the Euro

International Journal of Finance and Economics, Forthcoming
Number of pages: 45 Posted: 13 Aug 2007
Pierre L. Siklos and Martin T. Bohl
Wilfrid Laurier University - School of Business & Economics and University of Muenster
Downloads 53 (382,455)
Citation 1

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Central bank communication, Eurodollar exchange rate

Policy Words and Policy Deeds: The ECB and the Euro

Bank of Finland Research Discussion Paper No. 2/2006
Number of pages: 48 Posted: 05 Oct 2007
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 48 (400,032)

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communication policy, exchange rates, interest rates, volatility

27.

Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan

HKIMR Working Paper No.11/2011
Number of pages: 28 Posted: 27 Apr 2011
Martin T. Bohl, Badye Essid and Pierre L. Siklos
University of Muenster, HEC Montreal - Institute of Applied Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 90 (282,184)

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Short-Selling Bans, Taiwanese Stock Market, Asymmetric GARCH Models, Markov Switching Models

28.

Do Words Speak Louder than Actions? The Conduct of Monetary Policy at the Bundesbank

Number of pages: 31 Posted: 21 Nov 2000
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 88 (286,218)
Citation 1

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Bundesbank, reaction function, central bank communication

The Quality of Monetary Policy and Inflation Performance: Globalization and its Aftermath

Bank of Finland Research Discussion Paper No. 31/2009
Number of pages: 54 Posted: 28 Nov 2009
Martin T. Bohl, David G. Mayes and Pierre L. Siklos
University of Muenster, University of Auckland (Deceased) and Wilfrid Laurier University - School of Business & Economics
Downloads 62 (353,704)

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globalization, inflation differentials, monetary policy strategy, institutional change

The Quality of Monetary Policy and Inflation Performance: Globalization and its Aftermath

Posted: 06 Sep 2009
Pierre L. Siklos, Martin T. Bohl and David G. Mayes
Wilfrid Laurier University - School of Business & Economics, University of Muenster and University of Auckland (Deceased)

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globalization, inflation differentials, monetary policy strategy, institutional change

30.

The Bundesbank's Communications Strategy and Policy Conflicts with the Federal Government

Southern Economic Journal, Forthcoming
Number of pages: 34 Posted: 10 Jun 2005
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 62 (349,029)
Citation 1

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Deutsche Bundesbank, conflict, central bank communication, political factors

31.

Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures

CAMA Working Paper No. 6/2018
Number of pages: 46 Posted: 19 Jan 2018
University of Muenster, Wilfrid Laurier University - School of Business & Economics and Universität Münster
Downloads 51 (382,868)

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Speculation Ratio, Returns Volatility, Chinese Futures Markets, Agricultural Commodities

32.

Do Actions Speak Louder than Words? Evaluating Monetary Policy at the Bundesbank

Journal of Macroeconomics, Forthcoming
Number of pages: 38 Posted: 06 Nov 2005
Pierre L. Siklos and Martin T. Bohl
Wilfrid Laurier University - School of Business & Economics and University of Muenster
Downloads 51 (382,868)

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Bundesbank, Taylor rule, central bank communication

33.

Austerity and Recovery: Exchange Rate Regime Choice, Economic Growth and Financial Crises

Number of pages: 43 Posted: 30 Nov 2015
Martin T. Bohl, Philip Michaelis and Pierre L. Siklos
University of Muenster, University of Muenster - Faculty of Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 47 (396,472)

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austerity, recovery, exchange rate regime, financial crises

34.

Large Capital Inflows and Stock Returns in a Thin Market

National Bank of Poland Working Paper No. 120
Number of pages: 38 Posted: 18 Jul 2012 Last Revised: 08 Jul 2016
Janusz Brzeszczynski, Martin T. Bohl and Dobromil Serwa
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Muenster and National Bank of Poland
Downloads 42 (414,507)

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Institutional Investors, Stock Market Returns, Pension Funds, Capital Flows

35.

Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the U.S

Bundesbank Series 1 Discussion Paper No. 2006,22
Number of pages: 32 Posted: 08 Jun 2016
Martin T. Bohl, Jörg Döpke and Christian Pierdzioch
University of Muenster, Deutsche Bundesbank and Saarland University - Department of Economics and Statistics
Downloads 29 (469,674)

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Political stock market anomalies, predictability of stock returns, efficient markets hypothesis, real-time forecasting

36.

The Anatomy of Inflation: An Economic History Perspective

Prepared for the Handbook of the History of Money and Currency (Vienna: Springer), edited by S. Battilosi, Y. Cassis, and K. Yago, Forthcoming, CAMA Working Paper No. 8/2018
Number of pages: 41 Posted: 19 Jan 2018
Martin T. Bohl and Pierre L. Siklos
University of Muenster and Wilfrid Laurier University - School of Business & Economics
Downloads 26 (485,146)

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37.

Spatial Market Efficiency and Policy Regime Change: Seemingly Unrelated Error Correction Model Estimation

American Journal of Agricultural Economics, Vol. 84, pp. 1042-1053, 2002
Number of pages: 12 Posted: 17 Mar 2003
Stanley R. Thompson, Martin T. Bohl and Donggyu Sul
Ohio State University (OSU) - Department of Agricultural, Environmental & Development Economics, University of Muenster and University of Auckland - Department of Economics
Downloads 24 (496,187)
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38.

Institutional Traders' Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors

Journal of Business Finance & Accounting, Vol. 32, No. 7-8, pp. 1537-1560, September 2005
Number of pages: 14 Posted: 28 Mar 2006
Martin T. Bohl and Svitlana Voronkova
University of Muenster and Centre for European Economic Research (ZEW)
Downloads 16 (542,351)
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39.

Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB

Bundesbank Series 1 Discussion Paper No. 2004,22
Number of pages: 48 Posted: 08 Jun 2016
Pierre L. Siklos, Thomas Werner and Martin T. Bohl
Wilfrid Laurier University - School of Business & Economics, European Central Bank (ECB) and University of Muenster
Downloads 14 (554,324)
Citation 1

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reaction function, asset prices

40.

Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?

CAMA Working Paper No. 42/2019
Number of pages: 42 Posted: 22 Jun 2019
University of Muenster, Wilfrid Laurier University - School of Business & Economics, Department of Economics, Westfälische Wilhelms-Universität Münster and Universität Münster
Downloads 12 (566,533)

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Commodity Markets, Futures Speculation, Price Discovery

41.

Did the Bundesbank React to Stock Price Movements?

Bundesbank Series 1 Discussion Paper No. 2003,14
Number of pages: 49 Posted: 08 Jun 2016
Martin T. Bohl, Pierre L. Siklos and Thomas Werner
University of Muenster, Wilfrid Laurier University - School of Business & Economics and European Central Bank (ECB)
Downloads 2 (636,063)

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42.

Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States

Financial Review, Vol. 43, Issue 3, pp. 323-335, August 2008
Number of pages: 13 Posted: 14 Jul 2008
Martin T. Bohl, Jörg Döpke and Christian Pierdzioch
University of Muenster, Deutsche Bundesbank and Saarland University - Department of Economics and Statistics
Downloads 2 (636,063)
Citation 1
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43.

Dynamics between North American and European Agricultural Futures Prices During Turmoil and Financialization

Bulletin of Economic Research, Vol. 69, Issue 1, pp. 57-76, 2017
Number of pages: 20 Posted: 10 Jan 2017
Helmut Schmidt University Hamburg - Department of Mathematics and Statistics, University of Muenster and Johann Heinrich von Thünen Institute (vTI)
Downloads 1 (648,637)
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price transmission, volatility spillovers, VECM, VAR, GARCH, dynamic conditional correlations

44.

Do Commodity Index Traders Destabilize Agricultural Futures Prices?

Posted: 20 Jun 2012 Last Revised: 30 Jun 2013
Martin T. Bohl, Farrukh Javed and Patrick M. Stephan
University of Muenster, Lund University and University of Münster

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Commodity Index Traders, Futures Prices, Agricultural Markets, Stochastic Volatility Model, Kalman Filter

45.

Individual Investors Surpass Their Reputation: Trading Behaviour on the Polish Futures Market

Economic Systems, Vol. 34, No. 4, 2010
Posted: 30 Jul 2011
University of Muenster, University of Muenster and University of Canterbury - Department of Economics and Finance

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Emerging capital markets, Individual investors, Institutional investors, Stock index futures, Calendar anomalies, January effect, Monday effect

46.

European Stock Markets and the ECB's Monetary Policy Surprises

International Finance, Forthcoming
Posted: 07 May 2008
Martin T. Bohl, Pierre L. Siklos and David Sondermann
University of Muenster, Wilfrid Laurier University - School of Business & Economics and European Central Bank (ECB)

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Monetary Policy Shocks, European Stock Market, Identification through Heteroskedasticity, Principal Components Analysis

47.

Institutional Trading and Stock Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors' Behavior

Global Finance Journal, Forthcoming
Posted: 07 Oct 2004
Martin T. Bohl, Bartosz Gebka and Harald Henke
University of Muenster, University of Newcastle Business School and European University Viadrina, Frankfurt (Oder)

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Institutional trading, pension funds, return autocorrelation, Polish stock market

48.

Periodically Collapsing Bubbles in the Us Stock Market?

International Review of Economics and Finance, Vol. 12, pp. 385-397, 2003
Posted: 08 Dec 2003
Martin T. Bohl
University of Muenster

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Periodically Collapsing Bubbles, Asymmetric Adjustment, Threshold Cointegration

49.

Trading Volume and Stock Market Volatility: The Polish Case

International Review of Financial Analysis, Vol. 12, No. 5
Posted: 12 Feb 2003
Martin T. Bohl and Harald Henke
University of Muenster and European University Viadrina, Frankfurt (Oder)

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GARCH, trading volume, persistence, Polish stock market

Other Papers (2)

Total Downloads: 32
1.

Institutional Investors and Stock Returns Volatility: Empirical Evidence from a Natural Experiment

Number of pages: 17 Posted: 17 Feb 2005
Martin T. Bohl, Janusz Brzeszczynski and Bernd Wilfling
University of Muenster, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Westfälische Wilhelms-Universität
Downloads 21

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Institutional traders, Polish stock market, pension fund investors, stock market volatility, Markov-switching-GARCH model

2.

Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries

Number of pages: 22 Posted: 08 Mar 2008
University of Muenster, University of Muenster and Centre for European Economic Research (ZEW)
Downloads 11

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Pension fund management, investment and performance regulation, performance measurement, Eastern Central European stock markets, Emerging Markets