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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …
Persistent link: https://www.econbiz.de/10013397677
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …
Persistent link: https://www.econbiz.de/10014295230
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Co-movement dynamics of US and Chinese stock market : evidence from COVID-19 crisis
Song, Ge; Xia, Zhiqing; Muhammad Farhan Basheer; Shah, … - In: Economic research 35 (2022) 1,3, pp. 2460-2476
Persistent link: https://www.econbiz.de/10014382177
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An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets
Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012510344
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Is ECB rocking the boat? : unconventional monetary policy in the EMU and volatility spillovers to Poland
Janus, Jakub - In: Eastern European economics : EEE 58 (2020) 1, pp. 50-67
Persistent link: https://www.econbiz.de/10012203167
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Impacts of the US macroeconomic news on Asian stock markets
Nguyen, Do Quoc Tho; Chau Ngo - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 149-179
Persistent link: https://www.econbiz.de/10010337464
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Dynamic impact of interest rate volatility and spillover effect of the U.S. interest rate on banking sector development of Turkey : empirical evidence from cointegration and causal...
Almahadin, Hamed Ahmad; Tuna, Gulcay - In: Asia-Pacific journal of accounting & economics : … 26 (2019) 5, pp. 577-588
Persistent link: https://www.econbiz.de/10012174276
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A new world post COVID-19 : lessons for business, the finance industry and policy makers
Billio, Monica (ed.); Varotto, Simone (ed.) - 2020 - 1st edition
Persistent link: https://www.econbiz.de/10012307709
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Intraday seasonalities and macroeconomic news announcements
Harju, Kari (contributor); Hussain, Syed Mujahid (contributor) - 2006
Persistent link: https://www.econbiz.de/10003290160
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Bank systemic risk and macroeconomic shocks : Canadian and US evidence
Calmès, Christian; Raymond, Théore - In: Journal of banking & finance 40 (2014), pp. 388-402
Persistent link: https://www.econbiz.de/10010403736