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Classifying returns as extreme : european stock and bond markets

Christiansen, Charlotte - In: International review of financial analysis 34 (2014), pp. 1-4

Persistent link: https://www.econbiz.de/10010520407

Market integration and volatility spillover across major East Asian stock and Bitcoin markets : an empirical assessment

Zeng, Hongjun; Ahmed, Abdullahi Dahir - In: International journal of managerial finance : IJMF 19 (2023) 4, pp. 772-802

Persistent link: https://www.econbiz.de/10014326092

Stock market liquidity and macro-liquidity shocks : evidence from the 2007 - 2009 financial crisis

Florackis, Chris; Kontonikas, Alexandros; Kostakis, … - In: Journal of international money and finance 44 (2014), pp. 97-117

Persistent link: https://www.econbiz.de/10010391078

Stock market liquidity during periods of distress and its implications : evidence from international financial markets

Enow, Samuel Tabot - In: International journal of economics and financial issues … 13 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014227896

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...

Persistent link: https://www.econbiz.de/10012939609

Another look at momentum crashes : momentum in the European Monetary Union

Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766

Persistent link: https://www.econbiz.de/10011589714

Return and volatility connectedness and net directional patterns in spillover transmissions : East and Southeast Asian equity markets

Mateus, Cesario; Bagirov, Miramir; Mateus, Irina Bezhentseva - In: International review of finance : the official journal … 24 (2024) 1, pp. 83-103

Persistent link: https://www.econbiz.de/10014507516

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Persistent link: https://www.econbiz.de/10012175486

Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation

Amanjot Singh; Kaur, Parneet - In: Journal of academic research in economics 6 (2014) 3, pp. 336-349

Persistent link: https://www.econbiz.de/10011348110

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