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This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...
Persistent link: https://www.econbiz.de/10012999793
This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …
Persistent link: https://www.econbiz.de/10012980061
This research paper has analyzed the spillover of BSE stock returns by the regime ofmacroeconomic variables. The study selected sample macroeconomic indicators such as FII, IFT,M3, Production Index and WPI from the period of 1-01-2010 to 31.12.2019 from the RBI websiteand www.bseindia.com. The...
Persistent link: https://www.econbiz.de/10014238335
)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …
Persistent link: https://www.econbiz.de/10013106045
)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …
Persistent link: https://www.econbiz.de/10009539877
Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been … conventional index from the perspective of cointegration and volatility spillover employing ARDL bounds testing cointegration … can predict its future price using any of the index prices. Univariate GARCH(1,1) model finds evidence of volatility …
Persistent link: https://www.econbiz.de/10012871545
We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...
Persistent link: https://www.econbiz.de/10012963201
volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …
Persistent link: https://www.econbiz.de/10013022144
volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …
Persistent link: https://www.econbiz.de/10013239066
This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest … of six main indexes from Bucharest Stock Exchange. The volatility transmission from Standard and Poor 500 to the Romanian … the volatility transmission intensity increased from the first to the second period …
Persistent link: https://www.econbiz.de/10013049393