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Beware of the Crash Risk : Tail Beta and the Cross-Section of Stock Returns in China
Long, Huaigang - 2019
We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...
Persistent link: https://www.econbiz.de/10012890609
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Margin-Trading Volatility and Stock Price Crash Risk
Lv, Dayong - 2020
-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …
Persistent link: https://www.econbiz.de/10012837284
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Margin-Trading Volatility and Stock Price Crash Risk
Lv, Dayong; Wu, Wenfeng - 2023
-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …
Persistent link: https://www.econbiz.de/10014357901
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Spatial tale of G-7 and BRICS stock markets during COVID-19 : an event study
Ledwani, Sanket; Chakraborty, Suman; Shenoy, Sandeep S. - In: Investment management and financial innovations 18 (2021) 2, pp. 20-36
Persistent link: https://www.econbiz.de/10012698109
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …
Persistent link: https://www.econbiz.de/10014501248
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Relationship between gold and stock markets during the global financial crisis : evidence from nonlinear causality tests
Choudhry, Taufiq; Ul Hassan, Syed Shabi; Shabi, Sarosh - In: International review of financial analysis 41 (2015), pp. 247-256
Persistent link: https://www.econbiz.de/10011508942
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Herd behavior and idiosyncratic volatility
Huang, Teng-Ching; Lin, Bing-huei; Yang, Tung-Hsiao - In: Journal of business research : JBR 68 (2015) 4, pp. 763-770
Persistent link: https://www.econbiz.de/10010505007
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A Tale of Two 'Skewness' : Professional Epidemic Experience, Probability Weighting, and Stock Price Crash Risk
Gu, Leilei - 2020
Skewness preference, the tendency to overweight the probability of extreme tail events, can affect managerial decision making. We find that Chinese listed firms managed by CEOs who experienced a largely unpredictable rare event, namely the outbreak of Severe Acute Respiratory Syndrome (SARS) in...
Persistent link: https://www.econbiz.de/10012823798
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Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand : Does the US Subprime Crisis Matter?
Jiranyakul, Komain - 2016
volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …
Persistent link: https://www.econbiz.de/10012979314
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742