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Economic policy uncertainty and stock market volatility : a causality check
Raunig, Burkhard - 2021
Persistent link: https://www.econbiz.de/10012521604
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Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics
Kundu, Srikanta; Paul, Amartya - 2021
Persistent link: https://www.econbiz.de/10013365985
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A view from outside: sovereign CDS volatility as an Indicator of economic uncertainty
Böck, Maximilian; Feldkircher, Martin; Raunig, Burkhard - 2021
Persistent link: https://www.econbiz.de/10012436888
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …
Persistent link: https://www.econbiz.de/10011872403
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Economic policy uncertainty and the volatility of sovereign CDS spreads
Raunig, Burkhard - 2018
Persistent link: https://www.econbiz.de/10011820277
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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American …
Persistent link: https://www.econbiz.de/10014495999
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COVID-induced economic uncertainty
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020
Persistent link: https://www.econbiz.de/10012204869
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Global oil market and the US stock returns
Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015
This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...
Persistent link: https://www.econbiz.de/10011391816
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Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10010354157