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Intraday systematic patterns, lead-lag relationships, and pricing efficieny : evidence from the Kuala Lumpur composite index futures

Fauzias Mat Nor; Choo, Tea Lee - In: Regional financial markets : issues and policies, (pp. 182-221). 2004

Persistent link: https://www.econbiz.de/10002793296

Regime-switching stock returns and mean reversion

Nielsen, Steen - In: Essays in financial markets, (pp. 75-103). 2000

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Implied volatility duration and the early resolution premium

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Persistent link: https://www.econbiz.de/10012665341

The impact of global financial distress and uncertainties toward sukuk return dynamics in global market, GCC and non-GCC

Andani, Meri; Prasetyo, Muhammad Budi - In: Emerging issues in economics of development, business …, (pp. 361-377). 2020

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Idiosyncratic volatility puzzle : the role of assets' interconnections

Panzica, Roberto Calogero - In: Network connectivity, systematic and systemic risk, (pp. 145-181). 2018

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

Persistent link: https://www.econbiz.de/10012305840

Asymmetric effect of political elections on the stock returns and volatility in Malaysia

Hooi Hooi Lean; Peng Yeap, Geok - In: Information efficiency and anomalies in Asian equity …, (pp. 228-245). 2017

Persistent link: https://www.econbiz.de/10011928469

The impact of COVID-19 on firm stock price volatility

Chamzallari, Marinela; Chantziaras, Antonios; Grose, Chris - In: Business Development and Economic Governance in …, (pp. 433-450). 2022

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Momentum effect : developed vs. emerging stock markets

Svolka, Andrius; Pilinkus, Donatas; Bartkus, Edverdas - In: Business information systems Workshops : BIS 2011 …, (pp. 111-122). 2011

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Asset prices, consumption, and the business cycle

Campbell, John Y. - 1999

Persistent link: https://www.econbiz.de/10001436028

Portfolio selection in Indian stock market using relative performance indicator approach

Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Flexibility in resource management, (pp. 185-201). 2018

Persistent link: https://www.econbiz.de/10011714884