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Herd behavior in Indian stock market : upshots of COVID-19 pandemic

Bamba, Meera; Komal; Mamta - In: Finance India : the quarterly journal of Indian … 37 (2023) 2, pp. 401-420

Persistent link: https://www.econbiz.de/10014419239

A reassessment of oil market volatility and stock market volatility : evidence from selected SAARC countries

Aziz, Tariq - In: Comparative economic research : Central and Eastern Europe 26 (2023) 3, pp. 179-196

Volatility spillover informs whether the information in one market impacts the information in another. This paper … examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from … February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity …

Persistent link: https://www.econbiz.de/10014428534

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

Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Connectedness between sectors : the case of the polish stock market before and during COVID-19

Chirilă, Viorica - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-19

-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the … caused by the outbreak of COVID-19 rather than before the crisis. The volatility of each sector was also primarily due to … their own volatility. Thirdly, the banking sector was the main sector with respect to volatility spillover. The results that …

Persistent link: https://www.econbiz.de/10013375120

The stock market - oil prices variability relationship in the USA : the financial crisis effect

Mademlis, Dimitrios Kartsonakis; Dritsakis, Nikolaos - In: International journal of computational economics and … 13 (2023) 2, pp. 129-152

Persistent link: https://www.econbiz.de/10014307712

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Persistent link: https://www.econbiz.de/10014227600

Do lower foreign flows and higher domestic flows reduce indian equity market volatility?

Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar - In: Vision : the journal of business perspective 26 (2022) 4, pp. 461-470

Persistent link: https://www.econbiz.de/10014229671

Quantifying the effects of the inclusion and segregation of contracts for difference in Australian equity markets

Corbet, Shaen; Twomey, Cian - In: International journal of economics and financial issues … 4 (2014) 2, pp. 411-426

Persistent link: https://www.econbiz.de/10010520465

Weather and stock market volatility : the case of a leading emerging market

Shim, Hyein; Kim, Hyeyoen; Kim, Junyeup; Ryu, Doojin - In: Applied economics letters 22 (2015) 10/12, pp. 987-992

Persistent link: https://www.econbiz.de/10011286532