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Not All Heroes Wear CAPEs : Creation of a Global Stock Investment CEILING (Country Equity Index Leading Indicator for Near-term Gains)
Williams, Bryan - 2019
Investors have a home country bias when it comes to investing, despite the diversification benefits that a global scope can provide. This over-reliance on domestic markets can be reduced through reliable indicators that inform investors of how global markets are performing. While ubiquitous...
Persistent link: https://www.econbiz.de/10012864734
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The short-term impact of COVID-19 on global stock market indices
Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …
Persistent link: https://www.econbiz.de/10012485328
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Do Islamic stocks outperform conventional stocks during crisis periods? : a global comparison
Alamgir, Muhammad; Cheng, Ming-Chang - In: Global business and finance review 28 (2023) 6, pp. 23-47
conventional stock indices in the world's big stock markets. The study is also the first one to use the longest data period among …
Persistent link: https://www.econbiz.de/10014443248
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Short- and long-run tail dependence switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX
Mensi, Walid; Hammoudeh, Shawkat; Tiwari, Aviral Kumar; … - 2019
Persistent link: https://www.econbiz.de/10012144916
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Tail dependence in emerging ASEAN-6 equity markets : empirical evidence from quantitative approaches
Duy Duong; Toan Luu Duc Huynh - In: Financial innovation : FIN 6 (2020) 4, pp. 1-26
-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of … January 2001 to December 2017, we found that Student’s t-copulas under time-varying approach is the most appropriate approach …
Persistent link: https://www.econbiz.de/10012268531
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Leverage and volatility feedback effects and conditional dependence index : a nonparametric study
Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20
This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies...
Persistent link: https://www.econbiz.de/10011857010
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Predicting movement of stock of "Y" using Sutte Indicator
Ahmar, Ansari Saleh; Rahman, Abdul; Arifin, Andi Nurani … - In: Cogent economics & finance 5 (2017) 1, pp. 1-7
The aim of this study is to apply technical analysis Sutte Indicator at stock market that will assist in the decision-making process in investment to buy or sell stocks. This study took data from Stock of “Y” which listed in the NasdaqGS from the period 18 May 2012 to 30 August 2016. The...
Persistent link: https://www.econbiz.de/10011882533
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Impacts of U.S. stock market crash on South African top sector indices, volatility, and market linkages : evidence of copula-based BEKK-GARCH models
Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-19
, the Gumbel copulas have higher dependence parameters, implying that extreme co-movements occur in the upper tails …
Persistent link: https://www.econbiz.de/10014382640
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An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic
Ornanong Puarattanaarunkorn; Kittawit Autchariyapanitkul; … - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 310-332
Purpose - Unlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock...
Persistent link: https://www.econbiz.de/10014445508