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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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Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach
Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243
Persistent link: https://www.econbiz.de/10011865998
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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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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
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 … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …
Persistent link: https://www.econbiz.de/10014295230
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Oil price shocks and stock market returns : new evidence from the United States and China
Broadstock, David C.; Filis, George - In: Journal of international financial markets, … 33 (2014), pp. 417-433
Persistent link: https://www.econbiz.de/10011299813
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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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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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Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries
Yang, Li - 2012
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
Persistent link: https://www.econbiz.de/10013096494
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Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis
Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013162433
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The impact of oil price and exchange rate on momentum strategy profits in stock market : evidence from oil-rich developing countries
Zolfaghari, Mehdi; Sahabi, Bahram - In: Review of managerial science : RMS 15 (2021) 7, pp. 1981-2023
Persistent link: https://www.econbiz.de/10012660360