This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...

A literature review demonstrates credible evidence linking higher firm-specific stock return volatility to a more efficient stock market on one hand; and to higher firm-specific fundamentals volatility on the other. These results are reconciled if (1) market efficiency is interpreted as...

Understanding the pattern of stock market volatility is important to investors as well as for investment policy. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The volatility of the Zimbabwean stock market is modeled using...

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public's attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories...

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced...

We examine the relationship between trading activity and price volatility in Indonesia corporate bond market using 2010-2014 data. We also investigate the role of liquidity and credit quality in this relationship. We find that volume and trading frequency have a positive and significant...

The author analyzes the statistics of words and phrases related to financial market trading practices in millions of volumes from Google's book collection and available at Google Ngram Viewer. In recent almost 30 years, as the analyzed data shows, the scholars and practitioners' interest in the...

Using a multi-country regime-switching vector autoregressive (VAR) model we document the existence of two regimes in the volatility of interest rates at which emerging economies borrow from international financial markets, and study the statistical relationship of such regimes with episodes of...

Extending evidence from extant literature, this study finds the existence of realized skewness and momentum factors in the emerging stock market of Pakistan. Tick-by-tick data of listed firms atPakistan Stock Exchange (PSX) from 1 July 2008 to 31 August 2018 is used to generate five-minute...