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Dynamic linkages between Japan's foreign exchange and stock markets : response to the Brexit referendum and the 2016 U.S. presidential election
Sultonov, Mirzosaid; Jehan, Shahzdah Nayyar - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-8
In this paper, we analyse the response of Japan’s foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the...
Persistent link: https://www.econbiz.de/10011895792
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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
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Return and volatility spillover across stock markets of the US and its major trading partners
Hwang, Jae-Kwang - In: Journal of international business and economics : JIBE 23 (2023) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10014426561
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The impact of political risk on return, volatility and discontinuity : evidence from the international stock and foreign exchange markets
Vortelinos, Dimitrios I.; Saha, Shrabani - In: Finance research letters 17 (2016), pp. 222-226
Persistent link: https://www.econbiz.de/10011596530
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Political Uncertainty and Market Liquidity : Evidence from the Brexit Referendum and the 2016 U.S. Presidential Election
Cox, Justin - 2018
, quoted depth decreases, and volatility increases. We fail to find evidence of deteriorating market liquidity in the minutes …
Persistent link: https://www.econbiz.de/10012931462
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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …
Persistent link: https://www.econbiz.de/10011306093
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Monetary policy and stock returns under the MPC and inflation targeting
Chortareas, Georgios E.; Noikokyris, Emmanouil - In: International review of financial analysis 31 (2014), pp. 109-116
Persistent link: https://www.econbiz.de/10010461531
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Stock market reactions to Brexit : case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14
volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …
Persistent link: https://www.econbiz.de/10011964063
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Detecting jumps and regime switches in international stock markets returns
Chevallier, Julien; Goutte, Stéphane - In: Applied economics letters 22 (2015) 13/15, pp. 1011-1019
Persistent link: https://www.econbiz.de/10011312229