Narrow search
Showing 1 - 10 of 271
Cover Image
COVID-19 containment measures and expected stock volatility : high-frequency evidence from selected advanced economies
Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2021
We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …
Persistent link: https://www.econbiz.de/10012612335
Cover Image
The external impact of China's exchange rate policy : evidence from firm level data
Eichengreen, Barry; Tong, Hui - 2011
Persistent link: https://www.econbiz.de/10009424815
Cover Image
Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928
Cover Image
Hang in there : stock market reactions to withdrawals of COVID-19 stimulus measures
Chan-Lau, Jorge A.; Zhao, Yunhui - 2020
The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...
Persistent link: https://www.econbiz.de/10012486103
Cover Image
Responses of the Stock Market to Macroeconomic Announcements Across Economic States
Hu, Zuliu - 1998
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money...
Persistent link: https://www.econbiz.de/10014401312
Cover Image
The External Impact of China'S Exchange Rate Policy : Evidence From Firm Level Data
Eichengreen, Barry J. - 2011
We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns rise with renminbi revaluation expectations. This...
Persistent link: https://www.econbiz.de/10014399195
Cover Image
Stock Market Response to Unexpected Macroeconomic News : The Australian Evidence
Sadeghi, Mahdi - 1992
This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the...
Persistent link: https://www.econbiz.de/10014396377
Cover Image
Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
International Monetary Fund - 2009
This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility … markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and … volatility dynamics in external emerging bond markets …
Persistent link: https://www.econbiz.de/10014404285
Cover Image
Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573
Cover Image
The Egyptian Stock Market : Efficiency Tests and Volatility Effects
Mecagni, Mauro - 1999
pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …
Persistent link: https://www.econbiz.de/10014403463