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Dynamic linkages between Japan's foreign exchange and stock markets : response to the Brexit referendum and the 2016 U.S. presidential election
Sultonov, Mirzosaid; Jehan, Shahzdah Nayyar - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-8
In this paper, we analyse the response of Japan’s foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the...
Persistent link: https://www.econbiz.de/10011895792
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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
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Return and volatility spillover across stock markets of the US and its major trading partners
Hwang, Jae-Kwang - In: Journal of international business and economics : JIBE 23 (2023) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10014426561
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Lottery stocks in the UK : evidence, characteristics and cause
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: International journal of banking, accounting and … 14 (2024) 1, pp. 58-96
Persistent link: https://www.econbiz.de/10015057209
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The impact of political risk on return, volatility and discontinuity : evidence from the international stock and foreign exchange markets
Vortelinos, Dimitrios I.; Saha, Shrabani - In: Finance research letters 17 (2016), pp. 222-226
Persistent link: https://www.econbiz.de/10011596530
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Political Uncertainty and Market Liquidity : Evidence from the Brexit Referendum and the 2016 U.S. Presidential Election
Cox, Justin - 2018
, quoted depth decreases, and volatility increases. We fail to find evidence of deteriorating market liquidity in the minutes …
Persistent link: https://www.econbiz.de/10012931462
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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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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
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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …
Persistent link: https://www.econbiz.de/10011306093
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Detecting jumps and regime switches in international stock markets returns
Chevallier, Julien; Goutte, Stéphane - In: Applied economics letters 22 (2015) 13/15, pp. 1011-1019
Persistent link: https://www.econbiz.de/10011312229