reference to BSE and NSE in India. This study used secondary daily time series data, for a period of two years, from 01 ….01.2018 to 31.12.2019. Statistical tools, such as Descriptive Statistics and Correlation Matrix, were employed to perform the … analysis. It was found from the correlation analysis that there was a relationship between Twitter sentiments indicators and …

This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 ….0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

developed economies (the United States, the United Kingdom, and Japan) to selected emerging markets (China, India, Thailand …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …