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Price stability properties and volatility analysis of precious metals : an ICSS algorithm aqpproach

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15

in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals …

Persistent link: https://www.econbiz.de/10013471164

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

250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal … distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and …. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during …

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

Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL

Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

Persistent link: https://www.econbiz.de/10011895619

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

Persistent link: https://www.econbiz.de/10013397677

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

Persistent link: https://www.econbiz.de/10014284290

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

Persistent link: https://www.econbiz.de/10014295230

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

Spillovers of stock markets among the BRICS : new evidence in time and frequency domains before the outbreak of COVID-19 pandemic

Shi, Kai - In: Journal of risk and financial management : JRFM 14 (2021) 3/112, pp. 1-37

volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the … market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover …

Persistent link: https://www.econbiz.de/10012485149

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 Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

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

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