interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and … differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these … markets with respect to investors’ interpretation of risk in response to daily new confirmed cases, death rates, recovery …

In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around … the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic … allocation) risk measures. Our investigation shows that diversification benefits of sector-based allocation have increased as a …