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Do Stock Market Fear and Economic Policy Uncertainty Co-Move with COVID-19 Fear? Evidence from the US and UK
Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot - 2021
, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …
Persistent link: https://www.econbiz.de/10013228363
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Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan - 2016
Persistent link: https://www.econbiz.de/10011541711
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Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Asgharian, Hossein - 2020
We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...
Persistent link: https://www.econbiz.de/10012855094
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Coskewness and reversal of momentum returns : the US and international evidence
Dong, Liang; Dai, Yiqing; Haque, Tariq; Kot, Hung Wan; … - In: Journal of empirical finance 69 (2022), pp. 241-264
Persistent link: https://www.econbiz.de/10013478531
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UK and US trading of British cross-listed stocks : an intraday analysis of market integration
Werner, Ingrid M. - In: The review of financial studies 9 (1996) 2, pp. 619-664
Persistent link: https://www.econbiz.de/10001202787
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Empirical studies on volatility in international stock markets
Hol, Eugenie M. J. H. - 2003
Persistent link: https://www.econbiz.de/10001781211
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Explaining movements in UK stock prices : how important is the US market?
Aslanidis, Nektarios (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001726223
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Accentuated intraday stock price volatility : what is the cause?
Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A. - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 45-55
Persistent link: https://www.econbiz.de/10003980024
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Co-movements between US and UK stock prices : the role of time-varying conditional correlations
Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380
Persistent link: https://www.econbiz.de/10008811289
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Noise vs. news in equity returns
Chirinko, Robert S.; Foad, Hisham - 2006
fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by …
Persistent link: https://www.econbiz.de/10003381609