We consider the impact of the Covid19 Pandemic on major stock-markets. We first apply a structural break testing procedure in order to identify the date of initial impact. We then estimate the magnitude of the impact using an extended form of the GARCHX model. The overall impact is decomposed...

We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework...

In this paper, the impact of the accounting rule (SFAS No.8) on stock market is analyzed with a new model, which is based on the 3-factor model of Fama-French (1993), the EGARCH-type volatility of Nelson (1991) and non-Normal distribution of SSAEPD of Zhu and Zinde-Walsh (2009). Fama-French 25...

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

How and to what extent do managerial control benefits shape the efficiency of the takeover market? We revisit this question by estimating both the dark and bright sides of managerial control benefits in an industry equilibrium model. On the dark side, managers' private benefits of control...

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

We propose a bivariate component GARCH-MIDAS model to estimate the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and that it estimates these moments...