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Did real economic uncertainty drive risk connectedness in the oil-stock nexus during the COVID-19 outbreak? : A partial wavelet coherence analysis
Al-Shboul, Mohammad; Maghyereh, Aktham I. - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-23
This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …
Persistent link: https://www.econbiz.de/10014497264
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Does US Economic Policy Uncertainty Spillover to UAE Stock Markets Volatility? Evidence from a TVP-VAR Connectedness
Maghyereh, Aktham Issa - 2023
This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014) connectedness index with the time-varying parameter vector...
Persistent link: https://www.econbiz.de/10014255189
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Crash risk in individual stocks
Pederzoli, Paola - 2018
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …
Persistent link: https://www.econbiz.de/10011899675
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How the Australian Ban on Short Selling During the GFC Affected Market Quality and Volatility
Henker, Thomas - 2011
We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the...
Persistent link: https://www.econbiz.de/10013117625
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Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk … through public credit registries is negatively associated with future crash risk after controlling for other predictors of … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …
Persistent link: https://www.econbiz.de/10012926760
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Price Discovery of Internationally Cross-Listed Stocks During the 2008 Financial Crisis
Lockwood, Jimmy - 2019
Studies of cross-listings show home markets dominate price discovery and point to informational advantages of local investors. However, we show price discovery gravitates to markets with better order execution quality and find home markets do not dominate price discovery. Instead, price...
Persistent link: https://www.econbiz.de/10012903149
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The Stock Market, the Real Economy and Contagion
Baur, Dirk G. - 2014
In this paper we analyze the link between stock market performance and macroeconomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...
Persistent link: https://www.econbiz.de/10013051552
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Which Financial Stocks Did Short Sellers Target in the Subprime Crisis?
Hasan, Iftekhar - 2015
selling activity before the 2008 short ban reflected financial companies' risk exposures in the subprime crisis. The evidence … suggests that short sellers sold short stocks that had the greatest asset and insolvency risk exposures, and that the short … disciplining effects of investors and may also serve as a counterweight to any perceived macro or systemic risk reduction benefits …
Persistent link: https://www.econbiz.de/10013027420
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Financial Contagion in the BRICS Stock Markets : An Empirical Analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
Pereira, Dirceu - 2018
a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist …
Persistent link: https://www.econbiz.de/10012931029
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The COVID-19 Crash in the US Stock Market
Ziemba, William T. - 2020
This paper studies the US equity market during the COVID-19 period in the first half of 2020. There is a record rise, then a record fall in prices and then a record recovery. Throughout the period there was extreme volatility and much short term momentum with fear and greed alternating. The VIX...
Persistent link: https://www.econbiz.de/10012830521