Showing 1 - 10 of 14,970
Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is …We assess the stock market volatility spillover between three closely related countries, United States, China and … volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry …
Persistent link: https://www.econbiz.de/10012951895
Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the … analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in … the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This …
Persistent link: https://www.econbiz.de/10013010937
We revisited the Jegadeesh and Titman (1993) methodology of momentum to find out whether any momentum still exists in the Australian stock market. Our results suggest the presence of significant momentum returns in the Australian market. The momentum can last up to 100 weeks if the portfolio is...
Persistent link: https://www.econbiz.de/10013080091
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 …
Persistent link: https://www.econbiz.de/10014516032
growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric …-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most …
Persistent link: https://www.econbiz.de/10014215497
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …
Persistent link: https://www.econbiz.de/10012891063
The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …
Persistent link: https://www.econbiz.de/10013115744
In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …
Persistent link: https://www.econbiz.de/10013097841
This paper examines the trading volume and return and volatility relationship on the Stock Exchange of Mauritius (SEM … trading volume and volatility has been found, therefore support of the Mixture-of-Distributions hypothesis and the Sequential …
Persistent link: https://www.econbiz.de/10013149257