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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …
Persistent link: https://www.econbiz.de/10013397677
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Impact of US macroeconomic news announcements on intraday causalities on selected European stock markets
Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Finance a úvěr 66 (2016) 5, pp. 405-425
Persistent link: https://www.econbiz.de/10011582475
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An examination of the relationship between the disposition effect and stock return, volatility, and trading volume : the evidence in US stock markets
Afi, Hatem - In: International journal of managerial and financial accounting 9 (2017) 3, pp. 242-262
Persistent link: https://www.econbiz.de/10011847010
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Inflation risk and stock returns : evidence from US aggregate and sectoral markets
Chiang, Thomas C.; Chen, Pei-Ying - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014485580
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COVID-19 and instability of stock market performance : evidence from the U.S.
Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18
volatility in the U.S over the period January 1st, 2019 to June 30th, 2020 by using the methodologies of Bai and Perron … results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the … members before COVID‑19 crashed the market. Furthermore, return predictability and price volatility significantly increased …
Persistent link: https://www.econbiz.de/10012494993
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Oil price shocks and stock market returns : new evidence from the United States and China
Broadstock, David C.; Filis, George - In: Journal of international financial markets, … 33 (2014), pp. 417-433
Persistent link: https://www.econbiz.de/10011299813
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The US stock market at sector level : inflation news, 1990-2013
Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Applied econometrics and international development 18 (2018) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10012000540
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Stock market trading volumes and economic uncertainty dependence : before and during Sino-U.S. trade friction
Cai, Yuxin; Tao, Yuyu; Yan, Zhengxuan - In: Economic research 33 (2020) 1,2, pp. 1711-1728
Persistent link: https://www.econbiz.de/10013191136
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Understanding intraday momentum strategies
Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
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Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe
Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 2, pp. 217-240
Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of …
Persistent link: https://www.econbiz.de/10011736959