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International information spillovers and asymmetric volatility in South Asian stock markets
Gajurel, Dinesh; Chawla, Akhila - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-18
asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka … linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … Bangladesh and Nepal, in contrast, lack both global and regional integration. We find limited evidence of neighborhood (India …
Persistent link: https://www.econbiz.de/10013471157
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Dynamic and static volatility interruptions : evidence from the Korean stock markets
Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions … investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price …
Persistent link: https://www.econbiz.de/10013161697
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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
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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
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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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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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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
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Did politicians use non-public macroeconomic information in their stock trades? : evidence from the STOCK Act of 2012
Karadas, Serkan; Schlosky, Minh Tam; Hall, Joshua C. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18
Existing research shows that members of Congress made informed trades prior to the passage of the STOCK Act of 2012. There is also evidence in the literature to suggest that the STOCK Act was able to deter politicians from trading based on non-public information. However, the question of whether...
Persistent link: https://www.econbiz.de/10012588160
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
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Asymmetric mean reversion in low liquid markets : evidence from BRVM
Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...
Persistent link: https://www.econbiz.de/10012022315