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Volatility spillover from institutional equity investments to Indian volatility index
Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar - In: International journal of management concepts and … 13 (2020) 3, pp. 173-183
Persistent link: https://www.econbiz.de/10012514596
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Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model
Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …
Persistent link: https://www.econbiz.de/10014516032
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Quantile dependencies between discontinuities and time-varying rare disaster risks
Gillas, Konstantinos Gkillas; Floros, Christos; … - In: The European journal of finance 27 (2021) 10, pp. 932-962
Persistent link: https://www.econbiz.de/10012609242
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The influence of oil price fluctuations on stock market of developing economies : a focus on Nigeria
Nwude, Chuke; Eluyela, Damilola Felix; Agbo, Elias Igwebuike - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 3, pp. 100-109
Persistent link: https://www.econbiz.de/10012621521
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How do great shocks influence the correlation between oil and international stock markets?
Zhang, Bing - In: Applied economics 49 (2017) 15, pp. 1513-1526
Persistent link: https://www.econbiz.de/10011813622
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Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? : a time-frequency analysis
Chen, Xiuwen - In: Applied economics 55 (2023) 48, pp. 5637-5652
Persistent link: https://www.econbiz.de/10014335498
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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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
volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …
Persistent link: https://www.econbiz.de/10014501165
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Permanent, transitory, and non-fundamental components of returns, volatility, and volume
Sun, Megan Y. - In: Journal of business & economics research 6 (2008) 6, pp. 73-92
Persistent link: https://www.econbiz.de/10003764725
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Sudden changes in volatility in emerging markets : the case of Gulf Arab stock markets
Hammoudeh, Shawkat; Li, Huimin - In: International review of financial analysis 17 (2008) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10003765257