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Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

Persistent link: https://www.econbiz.de/10012384430

Co-movements between US and UK stock prices : the role of time-varying conditional correlations

Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380

Persistent link: https://www.econbiz.de/10008811289

The relationship between stock returns and volatility in the seventeen largest international stock markets : a semi-parametric approach

Dimitriou, Dimitrios; Simos, Theodore - In: Modern economy 2 (2011) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10009305794

Impact of news-based equity market volatility on international stock markets

Alqahtani, Abdullah; Wither, Michael J.; Dong, Zhankui; … - In: Journal of applied economics 23 (2020) 1, pp. 224-234

This study examines the long run impacts of equity market volatility on index returns of nine major international stock … exchanges in the Western and Asian regions. This study employs the text-based Economic Market Volatility (EMV) index to measure … the degree of uncertainty in the U.S. stock market. Using monthly data from December 2001 to August 2018, the estimation …

Persistent link: https://www.econbiz.de/10012257091