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The spillover effect of shocks of fundamental factors and speculative activity on prices volatility of world vegetable oil
Fitrianti, Wanti; Syaukat, Yusman; Sri Hartoyo; … - In: International journal of economics and financial issues … 9 (2019) 2, pp. 230-240
Persistent link: https://www.econbiz.de/10012149426
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model
Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more … sensitive to bad news indicating that negative information shock heightens market risk more than positive shock due to increased …
Persistent link: https://www.econbiz.de/10014516032
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The impact of the COVID-19 pandemic on the volatility of cryptocurrencies
Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17
great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …
Persistent link: https://www.econbiz.de/10014284682
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Market shocks and stock volatility : evidence from emerging and developed markets
Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …
Persistent link: https://www.econbiz.de/10014501165
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Correlated cashflow shocks, asset prices, and the term structure of equity
Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577
Persistent link: https://www.econbiz.de/10014392946
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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Financial integration in East Asia : evidence from stock prices
Zhao, Xiaodan; Kim, Yoonbai - In: Han gug gae bal yeon gu 33 (2011) 4, pp. 25-48
Persistent link: https://www.econbiz.de/10009517417
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Using equity market reactions to infer exposure to trade liberalization
Greenland, Andrew; Ion, Mihai; Lopresti, John; Schott, … - 2022
Persistent link: https://www.econbiz.de/10013263244