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Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10013200278

Intraday volatility spillovers among European financial markets during COVID-19

Aslam, Faheem; Ferreira, Paulo; Mughal, Khurrum Shahzad; … - In: International Journal of Financial Studies 9 (2021) 1, pp. 1-19

During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday...

Persistent link: https://www.econbiz.de/10013200331

Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach

Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85

Persistent link: https://www.econbiz.de/10011422667

Co-movements of GCC emerging stock markets : new evidence from wavelet coherence analysis

Aloui, Chaker; Hkiri, Besma - In: Economic modelling 36 (2014), pp. 421-431

Persistent link: https://www.econbiz.de/10010415824

How world uncertainties and global pandemics destabilized food, energy and stock markets? : fresh evidence from quantile on quantile regressions

Chowdhury, Mohammad Ashraful Ferdous; Meo, Muhammad Saeed; … - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012805062

The footprints of COVID-19 on Central Eastern European stock markets : an intraday analysis

Aslam, Faheem; Nogueiro, Francisca; Brasil, Mariana; … - In: Post-communist economies 33 (2021) 6, pp. 751-769

Persistent link: https://www.econbiz.de/10012609486

Oil-stock nexus in an oil-rich country : does geopolitical risk matter in terms of investment horizons?

Aloui, Chaker; Ben Hamida, Hela - In: Defence and peace economics 32 (2021) 4, pp. 468-488

Persistent link: https://www.econbiz.de/10012607758

COVID-19 pandemic and the dependence structure of global stock markets

Aslam, Faheem; Mughal, Khurrum Shahzad; Aziz, Saqib; … - In: Applied economics 54 (2022) 18, pp. 2013-2031

Persistent link: https://www.econbiz.de/10012875715

Intraday volatility spillovers among European financial markets during COVID-19

Aslam, Faheem; Ferreira, Paulo; Mughal, Khurrum Shahzad; … - In: International Journal of Financial Studies : open … 9 (2021) 1/5, pp. 1-19

Persistent link: https://www.econbiz.de/10012422559

A non-linear approach for predicting, stock returns and volatility with the use of investor sentiment indices

Bekiros, Stelios; Gupta, Rangan; Kyei, Clement - In: Applied economics 48 (2016) 31/33, pp. 2895-2898

Persistent link: https://www.econbiz.de/10011614191