This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...

This paper proposes the mixed frequency conditional beta. We employ the MIDAS framework to decompose market betas into high and low frequency components. The total mixed frequency beta is the weighted average of these two components. Then, we analyze the macroeconomic determinants of stock...

Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the reference time interval on which returns are measured and its manifestation may indicate the degree of market inefficiencies. The purpose of this paper is to study the intervalling...

This paper examines whether oil price shocks of different origin affect the price of carbon emission allowance traded under the European Union's Emissions Trading System (EU-ETS); leading to changes in aggregate and sector specific European equity returns. The results show that an unexpected oil...

Rapach, Ringgenberg and Zhou (2016) claim that for the sample period 1973 to 2014 "short interest is arguably the strongest known predictor of aggregate stock returns", that it "outperforms a host of popular predictors", and that it represents "informed traders who are able to anticipate changes...

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

This paper investigates whether pre-specified macroeconomic factors can adequately proxy for the pervasive influences in stock returns, within the context of macroeconomic linear factor models motivated by the multifactor Arbitrage Pricing Theory (APT). Variation in stock returns can be...

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...

The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources of systematic risk) in explaining stock returns. In the same vein, this paper examines the relationship between macroeconomic variables (GDP, inflation, interest rate, exchange...