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Volatility analysis based on GARCH-type models : evidence from the Chinese stock market
Wang, Yuling; Xiang, Yunshuang; Lei, Xinyu; Zhou, Yucheng - In: Economic research 35 (2022) 1,3, pp. 2530-2554
Persistent link: https://www.econbiz.de/10014382202
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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 … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 … mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the US and China's two markets; thus …
Persistent link: https://www.econbiz.de/10011296721
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Return and volatility spillover across equity markets between China and Southeast Asian countries
Ngo Thai Hung - In: Journal of economics, finance & administrative science 24 (2019) 47, pp. 66-81
Purpose - Actions of incumbent politicians and firms' managers during election years have been cited as sources of many problems that afflict economies and business entities. Given the controversies surrounding the impact of elections on firms' soundness, this paper poses a question of whether...
Persistent link: https://www.econbiz.de/10012025398
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Economic policy uncertainty of China and investment opportunities : a tale of ASEAN stock markets
Hassanudin Bin Mohd Thas Thaker; Mohamed Asmy Mohd Thas … - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 277-293
Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on …
Persistent link: https://www.econbiz.de/10014339123
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Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets
Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177
Persistent link: https://www.econbiz.de/10011348426
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An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets
Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012510344
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Markets dependence in times of turmoil : evidence from US and Asia-Pacific stock markets
Zehri, Chokri - In: Montenegrin journal of economics 18 (2022) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10013254592
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Dynamic interdependence and volatility transmission in the American stock markets during the attacks of September 11 : a retrospective
Amarante, Adriano de; Cunha, Jefferson da - In: Revista brasileira de economia de empresas : … 17 (2017) 2, pp. 7-18
Persistent link: https://www.econbiz.de/10011955370
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How the effective reproductive number impacts global stock markets
Kristjanpoller Rodríguez, Werner; Michell, Kevin; … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1972-1987
Persistent link: https://www.econbiz.de/10014533382
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013348418