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The Impact of Formal and Informal Institutions on Stock Market Reactions to Divestment Announcements : A Meta-Analysis
Arte, Pratik; Vähämaa, Sami - 2022
This study examines the impact of institutions and culture on stock market reactions to divestment announcements. We posit that divestment announcements in countries with stronger shareholder protection generate higher positive returns than divestments in countries with weaker shareholder...
Persistent link: https://www.econbiz.de/10014236720
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The Sequencing of Stock Market Liberalization Events and Corporate Financing Decisions
Flavin, Thomas - 2010
We examine if the sequence of stock market liberalization events matters for corporate financing choices. We contrast firms who attain ‘investable' status through domestic reforms with those who do so by issuing American Depository Receipt programs. We find that the first liberalization event...
Persistent link: https://www.econbiz.de/10013149116
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On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013
Bouri, Elie - 2017
We examine the relation between price returns and volatility changes in the Bitcoin market using a daily database … denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. We test if there is a difference in the return-volatility relation before and after the price …
Persistent link: https://www.econbiz.de/10012967432
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Does the Chinese stock market react to global news?
Byström, Hans N. E. - In: Journal of the Asia Pacific economy 16 (2011) 3, pp. 448-455
Persistent link: https://www.econbiz.de/10009503032
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
Persistent link: https://www.econbiz.de/10003965868
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns
Dori, Fabian - 2012
focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …
Persistent link: https://www.econbiz.de/10013096369
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Does Beta Explain Global Equity Market Volatility - Some Empirical Evidence
Kurach, Radosław - 2013
country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10013079478
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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The evaluation of the effects of ESG scores on financial markets
Costa, Michele - 2023
We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We … that companies with higher ESG tend to exhibit lower volatility. However, we haven't observed a similar trend when …
Persistent link: https://www.econbiz.de/10014445940