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Gupta, Jyoti P.; Pandey, I. M.; Chen, Chao-fu - In: Decision making : recent developments and worldwide …, (pp. 183-196). 2010

Persistent link: https://www.econbiz.de/10009152463

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

Persistent link: https://www.econbiz.de/10011545240

A study of the effect of macroeconomic variables on stock market : Saudi perspective

Samontaray, Durga Prasad; Nugali, Sultan; Sasidhar, Bokkasam - In: International journal of financial research 5 (2014) 4, pp. 120-127

Persistent link: https://www.econbiz.de/10010459123

The comparison study of liquidity measurements on the Chinese stock markets

Gao, Yang; Zhao, Wandi; Wang, Mingjin - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 2, pp. 483-511

Persistent link: https://www.econbiz.de/10012802098

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10012599014

Existence of speculative bubbles in the Indian stock market : knowledge gained during the US subprime crisis

Mukherjee, Sovik; Karmakar, Asim K. - In: Comparative advantage in the knowledge economy : a …, (pp. 75-84). 2021

Persistent link: https://www.econbiz.de/10012814053

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

Persistent link: https://www.econbiz.de/10011874650

Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution

Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index … and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period …

Persistent link: https://www.econbiz.de/10011856960

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