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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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Real Estate and the Stock Market : A Meta‐Regression Analysis
Gurdgiev, Constantin - 2010
The real estate finance literature provides diverse and contradictory findings regarding the relationship between the real estate market and the stock market. Despite the importance of this relationship to the economy in general relatively little is known of what causes such differences. In this...
Persistent link: https://www.econbiz.de/10013138058
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …
Persistent link: https://www.econbiz.de/10013071939
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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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Herding behavior, market sentiment and volatility : will the bubble resume?
Bekiros, Stelios; Jlassi, Mouna; Lucey, Brian M.; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 107-131
Persistent link: https://www.econbiz.de/10011938084
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The impacts of climate policy uncertainty on stock markets : comparison between China and the US
Xu, Xin; 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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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 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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Aye corona! : the contagion effects of being named corona during the COVID-19 pandemic
Corbet, Shaen; Hou, Yang; Hu, Yang; Lucey, Brian M.; … - 2020
Persistent link: https://www.econbiz.de/10012428518
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Aye Corona! : the contagion effects of being named Corona during the COVID-19 pandemic
Corbet, Shaen; Hou, Yang; Hu, Yang; Lucey, Brian M.; … - In: Finance research letters 38 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012490606