This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of individual assets and fractional cointegration to...

We investigated the behaviour of returns of the Johannesburg Stock Exchange All Share Index using asymmetrical exponential-GARCH(1,1) and GJR-GARCH(1,1) incorporating the market reactions to news. We noted the returns distribution is skewed and have fat-tails with respect to the normal...

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...