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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …

Persistent link: https://www.econbiz.de/10011555939

Financial contagion : a tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …

Persistent link: https://www.econbiz.de/10012587643

Volatility spillover and international contagion of housing bubbles

Bago, Jean-Louis; Akakpo, Koffi; Rherrad, Imad; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14

to develop coordinated real estate policies to address the risk of global real estate bubbles. …

Persistent link: https://www.econbiz.de/10012622423

Testing stock market efficiency from spillover effect of Panama leaks

Nasir, Adeel; Gherghina, Stefan Cristian; Mata, Mário Nuno - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-23

On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...

Persistent link: https://www.econbiz.de/10012821618

Dynamic linkages between Japan's foreign exchange and stock markets : response to the Brexit referendum and the 2016 U.S. presidential election

Sultonov, Mirzosaid; Jehan, Shahzdah Nayyar - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-8

In this paper, we analyse the response of Japan’s foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the...

Persistent link: https://www.econbiz.de/10011895792

Does heterogeneity in COVID-19 news affect asset market? : Monte-Carlo simulation based wavelet transform

Siddique, Asima; Kayani, Ghulam Mujtaba; Ashfaq, Saira - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-16

The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020-3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger...

Persistent link: https://www.econbiz.de/10012628812

Market liquidity and its dimensions : linking the liquidity dimensions to sentiment analysis through microblogging data

Guijarro Martinez, Francisco; Moya, Ismael; Saleemi, Jawad - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12

Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity...

Persistent link: https://www.econbiz.de/10012627652

On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market

Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

Persistent link: https://www.econbiz.de/10012173261

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape...

Persistent link: https://www.econbiz.de/10012174138

GARCH (1,1) models and analysis of stock market turmoil during COVID-19 outbreak in an emerging and developed economy

Setiawan, Budi; Abdallah, Marwa Ben; Fekete-Farkas, Maria; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic...

Persistent link: https://www.econbiz.de/10012798651