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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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Ramadan effect on stock market return and trade volume : evidence from Dhaka Stock Exchange (DSE)
Hassan, Md. Hashibul; Kayser, Md. Shahidullah - In: Cogent economics & finance 7 (2019) 1, pp. 1-10
Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …
Persistent link: https://www.econbiz.de/10012023939
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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange
Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167
Persistent link: https://www.econbiz.de/10009713176
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The effect of overconfidence behaviour on stock market volatility in Belgium
Anzian, Kouamé Marcel; Oyibo, Paul Vivien; Djeban, … - In: Theoretical and applied economics : GAER review 30 (2023) 3/636, pp. 131-146
Persistent link: https://www.econbiz.de/10014583859
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The impact of the day-of-the-week on the VIX fear gauge
Qadan, Mahmod - In: International journal of economic perspectives : IJEP 7 (2013) 2, pp. 24-31
Persistent link: https://www.econbiz.de/10011586397
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The day-of-the-week anomaly in market returns, volume and volatility in SAARC countries
Abbas, Sumra; Javid, Attiya Yasmin - 2015
Persistent link: https://www.econbiz.de/10011335025
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Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors
Xinyi, Liu; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496
Persistent link: https://www.econbiz.de/10009615667
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An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market
Naik, Pramod Kumar - 2013
Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has …The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH …
Persistent link: https://www.econbiz.de/10013078205
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No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange
Krishnamurti, Chandrasekhar - 2014
Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …
Persistent link: https://www.econbiz.de/10013060597
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Comovement, liquidity and asymmetries
Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108
Persistent link: https://www.econbiz.de/10012814373