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Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional...

Persistent link: https://www.econbiz.de/10012622818

The impact of exchange rates on stock market returns : new evidence from seven free-floating currencies

Alireza Zarei; Mohamed Ariff; Bhatti, Muhammad Ishaq - In: The European journal of finance 25 (2019) 14, pp. 1277-1288

Persistent link: https://www.econbiz.de/10012207088

On ethnicity of idiosyncratic risk and stock returns puzzle

Al Rahahleh, Naseem M.; Adeinat, Iman; Bhatti, Muhammad … - In: Humanomics 32 (2016) 1, pp. 48-68

Persistent link: https://www.econbiz.de/10011619284

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Jaiswal, Shivam; Chaturvedi, Anoop; Bhatti, Muhammad Ishaq - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10013334612