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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732
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The stock market effects of Islamist versus non-Islamist terror
Jin, Gan; Karim, Md Rafiul; Schulze, Günther G. - 2024
We are the first to analyze the effect of terror on stock markets by terror ideology. Surprisingly, we find that Islamist terror attacks created significant negative abnormal returns in American and European markets, but the stock market effects of other terror attacks were almost nil. For our...
Persistent link: https://www.econbiz.de/10014478721
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The stock market effects of Islamist versus non-Islamist terror
Jin, Gan; Karima, Md Rafiul; Schulze, Günther G. - 2024 - Electronically published: 16.1.2024
We are the first to analyze the effect of terror on stock markets by terror ideology. Surprisingly, we find that Islamist terror attacks created significant negative abnormal returns in American and European markets, but the stock market effects of other terror attacks were almost nil. For our...
Persistent link: https://www.econbiz.de/10014481141
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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...
Persistent link: https://www.econbiz.de/10013330980
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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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The spectre of terrorism and the stock market
Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022
Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a narrative-based approach à la Shiller (2019), we find...
Persistent link: https://www.econbiz.de/10013428887
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A neglected semi-stylized fact of daily stock returns
Davies, Patrick Laurie; Krämer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10011444114
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A Careful Re-Examination of Seasonality in International Stock Markets : Comment on Sentiment and Stock Returns
Kamstra, Mark J. - 2011
In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...
Persistent link: https://www.econbiz.de/10013133009
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World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
Bali, Turan G. - 2012
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....
Persistent link: https://www.econbiz.de/10013116715
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Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns
Dori, Fabian - 2012
Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...
Persistent link: https://www.econbiz.de/10013096369