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Do Volatility Spillover and Hedging among GCC Stock Markets and Global Factors Vary from Normal to Turbulent Periods? Evidence from the Global Financial Crisis and COVID-19 Pandemi...
Yousaf, Imran; Makram Beljid, Makram; Chaibi, Anis; … - 2022
global factors (Islamic stocks, oil, gold, bonds, and real estate) from July 5, 2004, to March 31, 2021. To take into account … stock markets in all sample periods, whereas the results vary across markets and sample periods for bonds, oil, Islamic …
Persistent link: https://www.econbiz.de/10013290542
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Análisis del efecto día de semana en los principales mercados accionarios latinoamericanos : una aproximación mediante el criterio de dominancia estocástica
Kristjanpoller, Werner; Muñoz, Roberto E. - In: Estudios de economía 39 (2012) 1, pp. 5-26
In this paper we study the presence of calendar anomalies in the main Latin- American stock markets, for the 1993 to 2007 period. The literature has shown that the detection of those effects may depend on error distribution assumptions (Baker et al., 2008), and that their existence could be due...
Persistent link: https://www.econbiz.de/10009668346
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The Impact of Chinese Exchange Rate Policy on Global Stock Markets : Evidence from Firm-Level Data
Eichengreen, Barry - 2011
This paper examines the impact of renminbi revaluation on foreign firm valuation and, by implication, firm prospects. To deal with the potential endogeneity of exchange rate movements, we consider not just official announcements of exchange rate policy but also 27 instances of market-perceived...
Persistent link: https://www.econbiz.de/10013128577
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Global Stock Market Interdependencies and long-term Portfolio Diversification
Lucey, Brian M. - 2010
In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the...
Persistent link: https://www.econbiz.de/10013137351
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Stock Market and Tax Revenue Collection in Malaysia : Evidence from Cointegration and Causality Tests
Taha, Roshaiza - 2013
This study empirically examined the relationship between stock market performance and taxation in Malaysia over the period 1980 to 2008. The Gregory Hansen methodology was utilized to examine which tax collected by Malaysia's Government most impacted stock market performance in Malaysia. The...
Persistent link: https://www.econbiz.de/10013087510
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Price and Volatility Transmission between ADRs and Their Underlying Stocks : Evidence from the Korean Case
Kang, Sang Hoon - 2016
This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price...
Persistent link: https://www.econbiz.de/10013000615
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The Effect of Implicit Market Barriers on Stock Trading and Liquidity
Alhomaidi, Asem - 2018
We compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from...
Persistent link: https://www.econbiz.de/10012928328
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The effectiveness of investing in stock exchange markets in Central and Eastern European Countries with regard to NYSE2-LSE-HKSE2 : a comparative risk analysis
Pera, Jacek - In: Comparative economic research : Central and Eastern Europe 22 (2019) 2, pp. 121-140
The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...
Persistent link: https://www.econbiz.de/10012024103
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Oil prices and African stock markets co-movement : a time and frequency analysis
Gourène, Grakolet Arnold Zamereith; Mendy, Pierre - In: Journal of African trade : official journal of the … 5 (2018) 1/2, pp. 55-67
This paper examines the co-movement between OPEC (Organization of Petroleum Exporting Countries) oil prices and the six … frequency. Our results show that the co-movement between African stock markets and oil prices is relatively low, with the … could represent a means of capital diversification for active investors in the oil market. …
Persistent link: https://www.econbiz.de/10011956846
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Are European Equity Markets Efficient? New Evidence from Fractal Analysis
Onali, Enrico - 2011
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long-range dependence in the log return series of the Mibtel (Italy) and the PX-Glob (Czech Republic). Long-range dependence implies that predictable patterns in the log...
Persistent link: https://www.econbiz.de/10013127456