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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment
Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia - 2021
This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...
Persistent link: https://www.econbiz.de/10013212657
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Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market
Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011883257
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Does Cross-Border Equity Trading Destabilize the Stock Market : Evidence from Chinese Stock Markets
Bian, Jiangze - 2020
investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks …
Persistent link: https://www.econbiz.de/10012838619
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Framing Effects in the Chinese Stock Market : A Test of New Measurement to Firm-Special Behavioral Characteristic
Xie, Jun - 2020
This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...
Persistent link: https://www.econbiz.de/10012827659
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Information Content of Order Flow and Cross-Market Portfolio Rebalancing : Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
Girardin, Eric - 2010
and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …
Persistent link: https://www.econbiz.de/10013141987
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Cross-sectional Return Predictability in Indian Stock Market : An Empirical Investigation
Goswami, Gautam - 2021
This paper provides a comprehensive analysis of stock return predictability in the Indian stock market by employing both the portfolio and cross-sectional regressions methods using the data from January 1994 and ending in December 2018. We find strong predictive power of size, cash-flow-to-price...
Persistent link: https://www.econbiz.de/10013230227
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An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data
Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...
Persistent link: https://www.econbiz.de/10011883488
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063