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The spectre of terrorism and the stock market
Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022
Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market …. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a … narrative-based approach à la Shiller (2019), we find that the spectre of terrorism during the Northern Ireland Troubles reduced …
Persistent link: https://www.econbiz.de/10013428887
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Stock market reaction to terrorist attacks and political uncertainty : empirical evidence from the Tunisian stock exchange
Ben Moussa, Fatma; Talbi, Mariem - In: International journal of economics and financial issues … 9 (2019) 3, pp. 48-64
Persistent link: https://www.econbiz.de/10012149495
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012513279
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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Tourism stocks in times of crisis : an econometric investigation of unexpected nonmacroeconomic factors
Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - In: Journal of travel research : a quarterly publication of … 58 (2019) 3, pp. 459-479
Persistent link: https://www.econbiz.de/10011983320
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71
Persistent link: https://www.econbiz.de/10014490993
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …
Persistent link: https://www.econbiz.de/10014295230
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Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The European journal of finance 24 (2018) 4/6, pp. 333-346
Persistent link: https://www.econbiz.de/10012244323