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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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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
The COVID-19 pandemic has challenged the notion that cryptocurrencies are uncorrelated with traditional asset markets. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European stock market indices from January 4, 2016, to February...
Persistent link: https://www.econbiz.de/10014445351
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Financial transaction taxes : announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011550386
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Indian MCX Financial Market Volatility In Wave 1 & 2 COVID-19 Pandemic
Kothiwal, Ritu; Ashwini, Maharaju; Ashok, R. - 2022
The MCX role has been expanded over the years as it has Partnered with exchanges from across the world giving it …
Persistent link: https://www.econbiz.de/10013289365
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The Impact of Macroeconomic Variables on Stock Market Volatility : Evidence from Cross-Country Analysis Pre, During and Post GFC
Khandaker, Sarod - 2017
Using data from ten developed and seven emerging countries, we analyse stock market's volatility and the macroeconomic … factors that influence stock market's volatility from January 2001 till December 2012. We use standard historical volatility …'s volatility for the sample countries. Our results show that stock markets of the sample countries are volatile during the Global …
Persistent link: https://www.econbiz.de/10012970531
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Cryptocurrencies, Stocks, and Economic Policy Uncertainty : A FAVAR Analysis
Civelli, Andrea; Jackson, Laura E. - 2023
We study the interactions between cryptocurrencies, stock markets, and economic policy uncertainty (EPU) by means of a Factor-Augmented Vector Autoregressive (FAVAR) framework. We rely on two market factors to model the comovements of returns within cryptocurrencies and stock markets. We...
Persistent link: https://www.econbiz.de/10014254302
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …
Persistent link: https://www.econbiz.de/10012584220
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Around-the-clock USD/MXN volatility: macroeconomic announcement spillovers and FX market intervention mechanisms
Pedroza, Wilfrido Jurado - 2021
This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by … leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD … the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different …
Persistent link: https://www.econbiz.de/10012584134
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A Model of Financialization of Commodities
Basak, Suleyman - 2015
A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...
Persistent link: https://www.econbiz.de/10013036073
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Agent-based financial markets and New Keynesian macroeconomics :a synthesis
Lengnick, Matthias; Wohltmann, Hans-Werner - 2010
used to reduce volatility and distortion of the macroeconomic aggregates. -- Agent-based financial markets ; New Keynesian …
Persistent link: https://www.econbiz.de/10008696723