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Stock market reactions to Brexit : case of selected CEE and SEE stock markets

Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14

volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …

Persistent link: https://www.econbiz.de/10011964063

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

Persistent link: https://www.econbiz.de/10011711085

Foreign exchange news announcements and the volatility of stock returns in Nigeria

Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: Spoudai : journal of economics and business 67 (2017) 3, pp. 3-17

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

Persistent link: https://www.econbiz.de/10011843827

Behaviour of Johannesburg Stock Exchange all share index returns : an asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Owusu Junior, Peterson - In: Spoudai : journal of economics and business 68 (2018) 1, pp. 26-42

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

Persistent link: https://www.econbiz.de/10011843965

Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach

Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-man - In: International review of economics & finance : IREF 42 (2016), pp. 291-312

Persistent link: https://www.econbiz.de/10011625119

The impact of COVID-19, day-of-the-week effect, and information flows on Bitcoin's return and volatility

Liu, Ying Sing; Lee, Liza - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 11, pp. 45-53

Persistent link: https://www.econbiz.de/10012671625

Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis

Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133

Persistent link: https://www.econbiz.de/10012016139

Information shock, market reaction, and stock message board information diffusion

Huang, Xiuqi; Meng, Yongqiang - In: The quarterly review of economics and finance 95 (2024), pp. 180-192

Persistent link: https://www.econbiz.de/10014631496

Cross-border acquisitions and shareholders’ wealth : the case of the Indian pharmaceutical sector

Wajid, Abdul; Sabiha, Anjim; Akhtar, Shakeb; Tabash, … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17

Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acquisitions and shareholders’ wealth in the...

Persistent link: https://www.econbiz.de/10013471449

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279