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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

Persistent link: https://www.econbiz.de/10013397677

Shift contagion with endogenously detected volatility breaks : the case of CEE stock markets

Baumöhl, E.; Lyócsa, Š.; Výrost, T. - In: Applied economics letters 18 (2011) 10/12, pp. 1103-1109

Persistent link: https://www.econbiz.de/10009317541

Unerwartete Gewinn- und Dividendeninformationen am deutschen Aktienmarkt : eine empirische Analyse

Werner, Mathias - 1999

Persistent link: https://www.econbiz.de/10000684108

The return of the size anomaly : evidence from the German stock market

Amel-Zadeh, Amir - In: European financial management : the journal of the … 17 (2011) 1, pp. 145-182

Persistent link: https://www.econbiz.de/10008990952

Value investing with firm size restrictions : evidence for the German stock market

Kaiser, Lars - In: International journal of economics and finance 6 (2014) 6, pp. 14-29

Persistent link: https://www.econbiz.de/10010370857

Value Investing with Firm Size Restrictions : Evidence for the German Stock Market

Kaiser, Lars - 2016

Recent findings by Fama and French (2012) suggest a decreasing pattern of value premia alongside an increase in firm size. Large trading volumes of value investors often restrict their investment possibilities to large, liquid stocks and raise a serious issue if large cap value premia are...

Persistent link: https://www.econbiz.de/10013007103