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The interactions between COVID-19 cases in the USA, the VIX index and major stock markets

Grima, Simon; Özdemir, Letife; Özen, Ercan; … - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-19

With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the early stage of the pandemic period. To do...

Persistent link: https://www.econbiz.de/10012545153

Intraday volatility spillovers among European financial markets during COVID-19

Aslam, Faheem; Ferreira, Paulo; Mughal, Khurrum Shahzad; … - In: International Journal of Financial Studies : open … 9 (2021) 1/5, pp. 1-19

During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday...

Persistent link: https://www.econbiz.de/10012422559

Stock market analysis : a review and taxonomy of prediction techniques

Shah, Dev; Isah, Haruna; Zulkernine, Farhana - In: International Journal of Financial Studies : open … 7 (2019) 2/26, pp. 1-22

Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a challenging problem in itself because of the number...

Persistent link: https://www.econbiz.de/10012038738

The impact of Brexit on the stock markets of the greater China region

Morales, Lucía; Andréosso-O'Callaghan, Bernadette - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19

An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was conducted using augmented market models that integrate Economic Policy Uncertainty (EPU) and implied volatility (VIX). The results do not seem to align with research in the field that...

Persistent link: https://www.econbiz.de/10011883261

Financial uncertainty from a dual shock at global level-insights from Kuwait

Alotaibi, Talal A. N. M. S.; Morales, Lucía - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-24

Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects as the global economy is immersed in an...

Persistent link: https://www.econbiz.de/10013462296

Pre- and Post-COVID-19 : the impact of US, UK, and European stock markets on ASEAN-5 stock markets

Izaan Jamil; Mori Kogid; Thien Sang Lim; Jaratin Lily - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-21

This study investigates the relationship between closing-opening prices of stocks in the US, UK, and European markets and the prices of stocks in the five Association of Southeast Asian Nations (ASEAN-5) markets, a group consisting of five founding members, namely, Indonesia, Malaysia, the...

Persistent link: https://www.econbiz.de/10014284716

Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10012239424