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Market shocks and stock volatility : evidence from emerging and developed markets

Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18

Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between...

Persistent link: https://www.econbiz.de/10014501165

Price Contagion between Markets Based on Heterogeneous Beliefs : Case from COVID-19's Sudden Impact on Markets

Yan, Yu; Wang, Yiming - 2021

single market dividend shock does not affect another market. After that, in order to verify the existence and influence of …

Persistent link: https://www.econbiz.de/10013238163

Oil shocks, US economic uncertainty, and emerging stock markets

Kwon, Dohyoung - In: Applied economics letters 26 (2019) 18, pp. 1472-1479

Persistent link: https://www.econbiz.de/10012204823

A language-independent measurement of economic policy uncertainty in Eastern European countries

Kupfer, Alexander; Zorn, Josef - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 5, pp. 1166-1180

Persistent link: https://www.econbiz.de/10012211527

Trading on sunspots

Jovanovic, Boyan; Tsyrennikov, Viktor - 2014

Persistent link: https://www.econbiz.de/10010481203

Asset Prices in Turbulent Markets with Rare Disasters

Kim, Soohun - 2015

, and time-varying likelihood of rare disasters. I embed this time-variation of risk in an endowment economy with a … high equity risk premium, excessive volatility of equity return, predictability of market returns through the price …-implied correlations between equity premium, variance risk premium, and the implied volatility of deep OTM put options are consistent with …

Persistent link: https://www.econbiz.de/10013034376

Macro-finance decoupling : robust evaluations of macro asset pricing models

Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 2, pp. 685-713

Persistent link: https://www.econbiz.de/10013190093

Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets

Matkovskyy, Roman; Jalan, Akanksha; Dowling, Michael - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 150-155

Persistent link: https://www.econbiz.de/10012430912

Trading on Sunspots

Jovanovic, Boyan - 2014

In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...

Persistent link: https://www.econbiz.de/10012457853

Trading on sunspots

Jovanovic, Boyan; Tsyrennikov, Viktor - In: American economic review 112 (2022) 12, pp. 3970-3994

Persistent link: https://www.econbiz.de/10014229440

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