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Business cycles, financial crises, and stock volatility in Jordan stock exchange

Al-Rjoub, Samer - In: International journal of economic perspectives : IJEP 5 (2011) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10011587452

Bank Dividend-Cuts and the Stock Market Reaction Around the Great Recession

Zia, Mujtaba - 2018

We study investors' reaction to dividend decreases and omissions in the US banking industry during the Great Recession of 2007 and 2008 and compare it to the reaction in the years before and after the crisis. Conducting standard event study approach, we find that investors didn't react...

Persistent link: https://www.econbiz.de/10012928585

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Persistent link: https://www.econbiz.de/10012039605

Is the era of the day-of-the-week anomaly over?

Ngan Duong Cao; Trinh, Vu Quang; Thanh Quoc Nguyen - In: International journal of banking, accounting and … 12 (2021) 2, pp. 118-140

Persistent link: https://www.econbiz.de/10012505142

Financial instability and economic activity

Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021

We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the...

Persistent link: https://www.econbiz.de/10012792745

Are All Booms and Busts Created Equal? A New Methodology for Understanding Bull and Bear Stock Markets

Forero Laverde, German - 2016

This paper presents a new non-parametric methodology for the description of the evolution of the asset cycle in the stock market. It uses the empirical distribution of the data; in particular the structures of the tails of return distributions to build Boom-Bust Indicators (BBI) that describe...

Persistent link: https://www.econbiz.de/10012992350

Predicting US Recessions with Stock Market Illiquidity

Chen, Shiu‐Sheng - 2015

In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...

Persistent link: https://www.econbiz.de/10013030216

What Drives Stock Prices along Business Cycles?

Mai, Dat - 2022

This paper applies a Bayesian break method to studying the empirical time-varying relations between stock price ratios and subjective expectations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations unconditionally explain 80% of price variations since...

Persistent link: https://www.econbiz.de/10013293691

Banking Crisis and Cyclic Shocks : A Perspective on Volatility Clustering

Sun, Mingyuan - 2019

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of … Estimated Loss is introduced as an indicator of banking crisis to analyze volatility clustering in a system-wide perspective …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in the …

Persistent link: https://www.econbiz.de/10012898293

Cyclical Earnings and Stock Index Crash Risk

Roberts, Tom - 2018

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon --- yet some economic agents could be particularly concerned about severe tail risk, rather than just mean returns. Motivated by present value logic, and the literature's suggestion that required...

Persistent link: https://www.econbiz.de/10012925072

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