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Halloween or January? : yet another puzzle
Lucey, Brian M.; Zhao, Shelly - In: International review of financial analysis 17 (2008) 5, pp. 1055-1069
Persistent link: https://www.econbiz.de/10003792405
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How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?
Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022
In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...
Persistent link: https://www.econbiz.de/10013406460
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Investigating the Dynamics Between Price Volatility, Price Discovery, and Criminality in Cryptocurrency Markets
Corbet, Shaen - 2019
This paper identifies several stylised facts relating to the volatility and price discovery process from eight … exhibit weekend-volatility effects while intra-day volatility is found to be influenced by international trading times …, periods of substantial volatility in the markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough …
Persistent link: https://www.econbiz.de/10012870964
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The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns
Corbet, Shaen - 2018
This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis...
Persistent link: https://www.econbiz.de/10012924762
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The Impacts of Climate Policy Uncertainty on Return, Volatility, Correlation and Tail Dependence of China's and Us Stock Markets
Xu, Xin; Huang, Shupei; Lucey, Brian M.; Haizhong, An - 2022
, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 …) For China, high CPU decreases current stock market return and increases volatility but decreases it in the future. It … volatility in short term, decreases volatility in 5 months and increases it again after 6 months. Both low and high CPU could …
Persistent link: https://www.econbiz.de/10013289708
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Dynamics and determinants of spillovers across the option-implied volatilities of US equities
Bouri, Elie; Lucey, Brian M.; Roubaud, David - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 257-264
Persistent link: https://www.econbiz.de/10012416566
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The impacts of climate policy uncertainty on stock markets : comparison between China and the US
Huang, Shupei; Lucey, Brian M.; An, Haizhong - In: International review of financial analysis 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014462184
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Efficiency in emerging markets : evidence from the MENA region
Lagoarde-Segot, Thomas; Lucey, Brian M. - In: Journal of international financial markets, … 18 (2008) 1, pp. 94-105
Persistent link: https://www.econbiz.de/10003710318
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The domino effect : analyzing the impact of Silicon Valley Bank's fall on top equity indices around the world
Yadav, Miklesh Prasad; Rao, Amar; Abedin, Mohammad Zoynul; … - In: Finance research letters 55 (2023) 2, pp. 1-5
Persistent link: https://www.econbiz.de/10014473437
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Monthly and semi-annual seasonality in the Irish equity market 1934 - 2000
Lucey, Brian M.; Whelan, Shane - In: Applied financial economics 14 (2004) 3, pp. 203-208
Persistent link: https://www.econbiz.de/10001915507