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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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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
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The impact of structural breaks on the integration of the ASEAN-5 stock markets
Chen, Cathy W.S.; Gerlach, Richard; Cheng, Nick Y.P.; … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2654-2664
This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...
Persistent link: https://www.econbiz.de/10010869876
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The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia
Fang, Chung-Rou; You, Shih-Yi - In: International Review of Economics & Finance 29 (2014) C, pp. 330-338
Although a lot of empirical research has studied the relationship between changes in oil prices and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large Newly Industrialized Economies (NIEs). Therefore, this paper...
Persistent link: https://www.econbiz.de/10011048270
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The linkage between the U.S. "fear index" and ADR premiums under non-frictionless stock markets
Esqueda, Omar A.; Luo, Yongli; Jackson, Dave - In: Journal of economics and finance 39 (2015) 3, pp. 541-556
Persistent link: https://www.econbiz.de/10011471137
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Stock market co-movement in Latin America and the US : evidence from a new approach
Vatsa, Puneet; Basnet, Hem Chandra; Mixon, Franklin G. - In: Journal of financial economic policy 14 (2022) 2, pp. 162-171
Persistent link: https://www.econbiz.de/10012880689
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Volatility transmission between US and Latin American stock markets : testing the decoupling hypothesis
Cardona, Laura; Gutiérrez, Marcela; Agudelo, Diego A. - In: Research in international business and finance 39 (2017), pp. 115-127
Persistent link: https://www.econbiz.de/10011876451
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Spillovers from the United States to Latin American and G7 stock markets : a VAR quantile analysis
Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge - In: Emerging markets review 31 (2017), pp. 32-46
Persistent link: https://www.econbiz.de/10011803160
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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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Similarity of emerging market returns under changing market conditions : markets in the ASEAN-4, Latin America, Middle East, and BRICs
Lyócsa, Štefan; Baumöhl, Eduard - In: Economic systems 39 (2015) 2, pp. 253-268
Persistent link: https://www.econbiz.de/10011527515