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What Determines Bank Stock Price Synchronicity? : Global Evidence
Francis, Bill B. - 2016
This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...
Persistent link: https://www.econbiz.de/10012981203
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What Determines Bank Stock Price Synchronicity? - Global Evidence
Francis, Bill B. - 2012
This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market during the financial crisis; in countries that have more credit provided by...
Persistent link: https://www.econbiz.de/10013104217
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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10009551892
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The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment
Papakyriakou, Panayiotis - 2019
We consider terrorism acts in G7 countries over the period 1998-2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further...
Persistent link: https://www.econbiz.de/10012891288
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(Ab)Normal Returns in an Emerging Stock Market : International Investor Perspective
Roszkowska, Paulina - 2019
This paper studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000-2013. Through an original implementation strategy based on one- and multi-factor asset pricing models, we find that the potential for...
Persistent link: https://www.econbiz.de/10012903034
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Indexing and Stock Market Serial Dependence Around the World
Baltussen, Guido - 2017
negative since the 2000s. This change happens in most stock markets around the world and is both statistically significant and …
Persistent link: https://www.econbiz.de/10012969168
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Heterogeneous Impacts of Wars on Global Equity Markets : Evidence From the Invasion of Ukraine
Boubaker, Sabri; Goodell, John W.; Pandey, Dharen Kumar; … - 2022
Using an event study methodology to examine the impact of the 2022 Russian invasion of Ukraine, we find that this invasion generated negative cumulative abnormal returns for global stock market indices, but with heterogeneous effects. Cross-sectional analysis reveals that economic globalization...
Persistent link: https://www.econbiz.de/10013290510
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Volatility and Return (Empirical Evidence from Tehran and International Stock Exchanges)
Pakizeh, Kamran - 2012
In this article the relationship between market return and volatility is examined by applying out-of-sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE...
Persistent link: https://www.econbiz.de/10013097841
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The Determinants of Global Stock Market Reactions to the Russia-Ukraine War
Sun, Meihong; Zhang, Chao; Song, Huasheng - 2022
Since the explosion of the Russia-Ukraine war, the global stock markets have experienced considerable oscillation. Using data for 86 countries, this paper provides a comprehensive analysis to identify the roles of geopolitical, economic, institutional, humanitarian, industrial, and firm-related...
Persistent link: https://www.econbiz.de/10013290103
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The short-term impact of COVID-19 on global stock market indices
Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …
Persistent link: https://www.econbiz.de/10012485328