This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …-stage multivariate EGARCH model's results show that the conditional volatilities of both asset portfolios surge more after positive news …

effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index …

and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an … event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market … volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock …