Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock markets over the period January 2000 to August 2021 using a diagonal BEKK-AMGARCH model. Results show that the Nigerian stock market exhibits characteristics of inefficiency, as...

Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the...

The efficient market research to date has focused mostly on the developed stock markets. To be efficient the market needs to be large and liquid, transaction costs should be cheaper than the expected investment strategy profits and Macedonian capital market as a developing market is...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional heteroscedasticity framework using a comprehensive data for...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...