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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

Persistent link: https://www.econbiz.de/10009673701

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

frequency, and that its short and long-run evolutions differ. We observe differences in short and long dynamics, indicating that … exhibit similar dynamics during persistent shocks. Betas are more volatile during times of crisis, resulting in greater or …

Persistent link: https://www.econbiz.de/10014289044

Momentum in the Tunisian stocks returns : identification of some risk factors

Zoghlami, Faten - In: Journal of applied finance & banking 1 (2011) 2, pp. 207-229

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

Persistent link: https://www.econbiz.de/10009536150

Investor sentiments and stock markets during the COVID-19 pandemic

Cevik, Emre; Kirci Altinkeski, Buket; Cevik, Emrah Ismail; … - In: Financial innovation : FIN 8 (2022), pp. 1-34

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model,...

Persistent link: https://www.econbiz.de/10013272311

Bank loan information and information asymmetry in the stock market : evidence from China

Ye, Yanyi; Wang, Yun; Yang, Xiaoguang - In: Financial innovation : FIN 8 (2022), pp. 1-28

In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these … measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and … firms with outstanding loans have a lower level of information asymmetry in the stock market, whereas firms with defaulted …

Persistent link: https://www.econbiz.de/10013272640

Forecasting risk using auto regressive integrated moving average approach : an evidence from S&P BSE Sensex

Challa, Madhavi Latha; Malepati, Venkataramanaiah; … - In: Financial innovation : FIN 4 (2018) 24, pp. 1-17

The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known as blue-chip companies. To reach out the predefined objectives of the research, Auto...

Persistent link: https://www.econbiz.de/10011921968

Effects of investor sentiment on stock volatility : new evidences from multi-source data in China's green stock markets

Gao, Yang; Zhao, Chengjie; Sun, Bianxia; Zhao, Wandi - In: Financial innovation : FIN 8 (2022), pp. 1-30

further explore the mediating effect of information asymmetry, measured by the volume-synchronized probability of informed …

Persistent link: https://www.econbiz.de/10013368470

Does subprime crisis affect Chinese stock market returns?

Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Persistent link: https://www.econbiz.de/10009741543

Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23

This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Persistent link: https://www.econbiz.de/10014541628

Pandemic or panic? : a firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market

Wang, Qiuyun; Liu, Lu - In: Financial innovation : FIN 8 (2022), pp. 1-38

This study presents a thorough investigation of the relationship between the coronavirus disease 2019 (COVID-19) and daily stock price changes. We use several types of COVID-19 patients as indicators for exploring whether stock prices are significantly affected by COVID-19's impact. In addition,...

Persistent link: https://www.econbiz.de/10013272717