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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10009770247
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Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …
Persistent link: https://www.econbiz.de/10011376746
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Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market
Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011842038
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Volatility spillover between the US, Chinese and Australian stock markets
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Chi, Wei; … - In: Australian journal of management 43 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10011890710
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Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320
Persistent link: https://www.econbiz.de/10012205552
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Delisted stocks and momentum : evidence from a new Australian dataset
Huynh, Thanh D.; Smith, Daniel R. - In: Australian journal of management 42 (2017) 1, pp. 140-160
Persistent link: https://www.econbiz.de/10011774112
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Spillover effects on the sectoral returns for australian and New Zealand equity markets
Balli, Faruk; Balli, Hatice Ozer; Hong, Ronglan - In: Journal of economics and finance 40 (2016) 3, pp. 568-589
Persistent link: https://www.econbiz.de/10011659039
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Does market irrationality in the media affect stock returns?
Gibson, Rajna; Hemmens, Christopher; Trépanier, Mathieu - 2015
on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …
Persistent link: https://www.econbiz.de/10011412095
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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The twilight zone : OTC regulatory regimes and market quality
Brüggemann, Ulf; Kaul, Aditya; Leuz, Christian; … - 2013 - Rev.
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We first show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We then exploit this...
Persistent link: https://www.econbiz.de/10009782418