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Does Insider Trading Raise Market Volatility?
Wei, Shang-Jin - 2003
This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The … controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and …
Persistent link: https://www.econbiz.de/10014403864
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Capital markets, COVID-19 and policy measures
ElFayoumi, Khalid; Hengge, Martina - 2021
The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation between markets and asset classes. Using high-frequency country-level data, this paper examines if and how the number of COVID cases, the stringency of the lockdown, and the fiscal...
Persistent link: https://www.econbiz.de/10012518278
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Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?
Cevik, Serhan; Öztürkkal, Belma - 2020
This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...
Persistent link: https://www.econbiz.de/10012392655
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United...
Persistent link: https://www.econbiz.de/10014395829
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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
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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
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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
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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
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Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
Chan-Lau, Jorge A. - 2002
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …
Persistent link: https://www.econbiz.de/10014399563
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Informational Efficiency in Developing Equity Markets
McDermott, C. John - 1995
The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first...
Persistent link: https://www.econbiz.de/10014397956