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Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and … degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined …

Persistent link: https://www.econbiz.de/10012520863

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 46 (2022) 4, pp. 678-703

Persistent link: https://www.econbiz.de/10013442222

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012022043

Has COVID-19 changed the correlation between cryptocurrencies and stock markets?

Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156

. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … cryptocurrencies and stock markets, which depends on the extent and persistence of responses to own and cross shocks. To improve the … robustness of our results, we also test the impact of government measures on Bitcoin and stock market indices and find that they …

Persistent link: https://www.econbiz.de/10014445351

Measuring persistence of the world population : a fractional integration approach

Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; … - 2023

This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the …

Persistent link: https://www.econbiz.de/10013550205

GDP per capita in Africa before the global financial crisis : persistence, mean reversion and long memory features

Gil-Alaña, Luis A.; Yaya, OlaOluwa S.; Shittu, … - In: CBN journal of applied statistics 6 (2015) 1, pp. 219-239

This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results...

Persistent link: https://www.econbiz.de/10011470706

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this …

Persistent link: https://www.econbiz.de/10012199998