The COVID-19 pandemic has caused severe disruption to economic activity worldwide. This note analyzes what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their...

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in equity variance. Unlike the standard "Mixture of...

Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their relationship to each other, and their common macroeconomic...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Governments implement policies to stabilize stock markets in times of financial crisis. The most common intervention is to forbid short sales. For instance, around the financial crisis of 2008, eleven governments announced restrictions on naked short sales in their stock markets. In light of the...

This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents' behavior in an...