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Monthly pattern and portfolio effect on higher moments of stock returns : empirical evidence from Hong Kong

Tang, Gordon Y. N. - In: Asia-Pacific financial markets 5 (1998) 3, pp. 275-307

Persistent link: https://www.econbiz.de/10001372072

Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons

Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …

Persistent link: https://www.econbiz.de/10013499504

The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality

Egginton, Jared; Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 52 (2019) 3, pp. 759-780

Persistent link: https://www.econbiz.de/10012171725

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014283909

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014487093

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions

Assaf, Ata - In: Journal of multinational financial management 29 (2015), pp. 30-45

Persistent link: https://www.econbiz.de/10011539511

Risk bearing ability of investors in Indian stock market

Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293

Persistent link: https://www.econbiz.de/10011419781

Risk-return relationship reinvestigated

Garg, Vidisha; Vasishth, Vibhuti - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 208-215

Persistent link: https://www.econbiz.de/10011420287

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