moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of …The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

This study examines the effect of economic policy uncertainty (EPU) on sustainable investment returns by using panel … investigate the impact of EPU, gold prices, oil prices, and Bitcoin prices on stock market returns by using the panel …, managers and investors in the sustainable stock markets are highly recommended to pay more attention to the volatility of EPU …

investigates the determinants of banking profitability in the CEE banking sectors based on a Generalized Method of Methods (GMM …-banking specific factors using a two-step GMM method. Our findings demonstrate that unemployment rate, inflation, budget balance, non …

method of moments (CU-GMM) estimators of dynamic panel models when the data is close to non-stationary. This case is far from … management. While the CU-GMM is shown to have lower bias and higher power, it suffers from severe size distortions, which are …

) in developing countries. The study uses panel data from 138 developing countries during the period 1980-2018. The … regions. We have carried out panel unit-root tests and panel cointegration tests before estimating the specified models using … both Panel Least Squares (Panel LS) and Panel Fully Modified Least Squares (FMOLS) methods. In addition, panel Granger …

panel of European countries. The growth of the gross domestic product was observed over a twenty-year time period on a … sample of 43 developing and developed countries. Based on a robust dynamic panel setting, we conclude that increases in …

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces …

This paper analyzes the effects of real exchange rate volatility on the United States’ exports to BRICS. It focuses on …, India, China, and South Africa, and uses quarterly data for period from 1993Q1 to 2021Q2. The specified panel regression … model was first estimated using three estimation methods, namely, the Panel Least Squares, the Panel Fully Modified Least …

suggests the misspecification of the underlying factor model, typically the Fama-French model. By drawing upon recent panel …