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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
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Price duration versus trading volume in high-frequency data for selected DAX companies
Gurgul, Henryk; Syrek, Robert; Mitterer, Christoph - In: Managerial economics 17 (2016) 2, pp. 241-260
The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time...
Persistent link: https://www.econbiz.de/10011736961
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …
Persistent link: https://www.econbiz.de/10013500945
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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
market changes, we conclude that equity markets have decoupled from adverse impacts of C-19 mortality and morbidity data …
Persistent link: https://www.econbiz.de/10013242732
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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange
Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 41-58
Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...
Persistent link: https://www.econbiz.de/10012818165
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The German equity market: risk, return, and liquidity
Göppl, Hermann (contributor) - In: Empirical research on the German capital market : with …, (pp. 171-185). 1999
Persistent link: https://www.econbiz.de/10001427658
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Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective
Gurgul, Henryk; Syrek, Robert - In: Managerial economics 18 (2017) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10011926903
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Statutory induced switching into a new market
Schmidt, Hartmut; Schrader, Torsten - In: Empirical research on the German capital market : with …, (pp. 97-110). 1999
Persistent link: https://www.econbiz.de/10001427627
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How investor attention affects stock returns? : some international evidence
Akarsu, Sergen; Süer, Ömür - In: Borsa Istanbul Review 22 (2022) 3, pp. 616-626
We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...
Persistent link: https://www.econbiz.de/10013334801