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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Wavelet multiple correlation and cross-correlation : a multiscale analysis of euro zone stock markets
Fernández Macho, Francisco Javier - 2011
Persistent link: https://www.econbiz.de/10010417906
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The role of precious metals in portfolio diversification during the Covid19 pandemic : a wavelet-based quantile approach
Alqaralleh, Huthaifa; Canepa, Alessandra - 2021
Persistent link: https://www.econbiz.de/10013167223
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Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis
Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21
. The current study examines the co-movement of stock markets in BRICS (Brazil, Russia, India, China and South Africa … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market … short- and long-term integration strengthened and deepened comovement among equity markets. From the portfolio …
Persistent link: https://www.econbiz.de/10013252768
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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective
Marczak, Martyna; Beissinger, Thomas - 2015
additionally capable of identifying time-varying comovement patterns. By applying this concept to excess returns of the monthly S …
Persistent link: https://www.econbiz.de/10011325814
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Investors' sentiment and equity markets during COVID-19 period : a quantile regression approach and wavelet analysis
Gherghina, Ștefan Cristian; Mehdian, Seyed M.; Stoica, … - In: Journal of business economics and management 24 (2023) 3, pp. 551-575
The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results...
Persistent link: https://www.econbiz.de/10014420385
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Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach
Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20
- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019 …
Persistent link: https://www.econbiz.de/10013179488
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Testing of consistent trends in stock performance in the Nairobi securities exchange
Ndegwa, James N.; Kiweu, Josephat Mboya - In: DBA Africa management review 5 (2015) 2, pp. 212-221
Persistent link: https://www.econbiz.de/10012250738
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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …
Persistent link: https://www.econbiz.de/10013334839
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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
This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock...
Persistent link: https://www.econbiz.de/10012268531