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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Persistent link: https://www.econbiz.de/10014254828

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Persistent link: https://www.econbiz.de/10014258401

Mergers and acquisitions : evidence on post-announcement performance from CEE stock markets

Zaremba, Adam; Płotnicki, Michał - In: Journal of business economics and management 17 (2016) 2, pp. 251-266

Persistent link: https://www.econbiz.de/10011516914

The return and volatility connectedness of NFT segments and media coverage : fresh evidence based on news about the Covid-19 pandemic

Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Teplova, … - In: Finance research letters 49 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013478625

Does Realized Skewness Predict the Cross-Section of Chinese Equity Returns?

Dai, Yiming; Jiang, Yuexiang; Long, Huaigang; wang, hui; … - 2023

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...

Persistent link: https://www.econbiz.de/10014353753

Immunizing markets against the pandemic : COVID-19 vaccinations and stock volatility around the world

Rouatbi, Wael; Demir, Ender; Kizys, Renatas; Zaremba, Adam - In: International review of financial analysis 77 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012805881

COVID-19 vaccinations and the volatility of energy companies in international markets

Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-21

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore … 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the … world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed …

Persistent link: https://www.econbiz.de/10012799942

Oil shocks and equity markets : the case of GCC and BRICS economies

Umar, Zaghum; Trabelsi, Nader; Zaremba, Adam - In: Energy economics 96 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012817858

Infected markets : novel coronavirus, government interventions, and stock return volatility around the globe

Zaremba, Adam; Kizys, Renatas; Aharon, David Y.; Demir, … - In: Finance research letters 35 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012439082

Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices

Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - 2021

volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …

Persistent link: https://www.econbiz.de/10013239066

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