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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

Persistent link: https://www.econbiz.de/10011296721

Asymmetric spillover effects between the Shanghai and Hong Kong stock markets : evidence from quantile lagged regression

Zhu, Huiming; Tang, Yueli; Guo, Peng - In: Applied economics 49 (2017) 9, pp. 886-902

Persistent link: https://www.econbiz.de/10011811073

The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference

Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014446963

Seasonality Effects through ARCH and GARCH Model : Evidence from Shanghai Stock Market (China)

Ahmed, Rizwan - 2016

The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week. In terms of monthly effect, we have found February...

Persistent link: https://www.econbiz.de/10012984798

A study to examine time-varying effectiveness of stock returns on Tehran stock exchange

SiamiNamini, Rahele; RahnamaRoudposhti, Fereydoun; … - In: International journal of financial research 4 (2013) 2, pp. 154-161

Persistent link: https://www.econbiz.de/10010205102

The month-of-the-year effect in the Indian stock market : a study on BSE SENSEX

Sen, Som Sankar - In: GITAM journal of management : a quarterly publication … 13 (2015) 1, pp. 142-152

Persistent link: https://www.econbiz.de/10011302421

Volatility risk and january effect : evidence from Japan

Li, Jingya; Gong, Jian - In: International journal of economics and finance 7 (2015) 6, pp. 25-30

Persistent link: https://www.econbiz.de/10011292407

Empirical evidence on calendar anomalies in trading and non-trading day returns in Indian stock market

Tuyekar, Suraj Prakash; Padyala, Sri Ram; Ramesh, … - In: Finance India : the quarterly journal of Indian … 37 (2023) 3, pp. 899-918

Persistent link: https://www.econbiz.de/10014583105

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

Persistent link: https://www.econbiz.de/10013272684

What makes the stock market jump? : An analysis of political risk on Hong Kong stock returns

Kim, Harold Y.; Mei, Jianping P. - In: Journal of international money and finance 20 (2001) 7, pp. 1003-1016

Persistent link: https://www.econbiz.de/10001637071