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This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and … degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined …, pink, social, and SDG) in the presence of rather lax regulations for ESG reporting …
Persistent link: https://www.econbiz.de/10013225332
Persistent link: https://www.econbiz.de/10013442222
assets because they are updated more rapidly in response to news. This paper explores persistence in high-frequency data (and … trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results show that persistence is … intraday ones are anti-persistent. In addition, persistence varies over time. These findings imply that the Efficient Market …
Persistent link: https://www.econbiz.de/10015394356
This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global …
Persistent link: https://www.econbiz.de/10014636175
This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...
Persistent link: https://www.econbiz.de/10011903723
This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets …. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the … not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices …
Persistent link: https://www.econbiz.de/10012653308
degrees of persistence. It also incorporates non-linear deterministic structures in the form of Chebyshev polynomials in time …
Persistent link: https://www.econbiz.de/10014470433
Persistent link: https://www.econbiz.de/10010231740
cryptocurrencies and stock markets, which depends on the extent and persistence of responses to own and cross shocks. To improve the …
Persistent link: https://www.econbiz.de/10014445351