Similar Search Results

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

Persistent link: https://www.econbiz.de/10012813273

Monthly art market returns

Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22

a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation …

Persistent link: https://www.econbiz.de/10012304909

Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution

Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index … and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period …

Persistent link: https://www.econbiz.de/10011856960

The relationship between carry trade and asset markets in South Africa

Bonga-Bonga, Lumengo; Maake, Tebogo - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13

dynamic correlation between each currency carry trade and asset markets to infer the time-varying dependence between the two … of the dynamic correlation between each asset market and the currency carry trade returns shows that any possibility of …

Persistent link: https://www.econbiz.de/10012622503

Multiscale partial correlation clustering of stock market returns

Michis, Antonis A. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-22

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns …

Persistent link: https://www.econbiz.de/10012813576

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai …

Persistent link: https://www.econbiz.de/10012486245

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012022291

Multi-factorized semi-covariance of stock markets and gold price

Shi, Yun; Yang, Lin; Huang, Mei; Huang, Jun Steed - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-11

Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for...

Persistent link: https://www.econbiz.de/10012520959

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification …

Persistent link: https://www.econbiz.de/10012172980

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014305816