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Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

Persistent link: https://www.econbiz.de/10013272684

Weekend gold returns in bull and bear markets

Blose, Laurence E.; Gondhalekar, Vijay - In: Accounting and finance : journal of the Accounting … 53 (2013) 3, pp. 609-623

Persistent link: https://www.econbiz.de/10010128920

On stock price overreactions : frequency, seasonality and information content

Caporale, Guglielmo Maria; Plastun, Alex - In: Journal of applied economics 22 (2019) 1, pp. 602-621

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...

Persistent link: https://www.econbiz.de/10012157453

The seasonal anomalies in the investors' fear gauge index

Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 247-254

Persistent link: https://www.econbiz.de/10011622307

Turn-of-the-month effect : new evidence from an emerging stock market

Kayacetin, Volkan; Lekpek, Senad - In: Finance research letters 18 (2016), pp. 142-157

Persistent link: https://www.econbiz.de/10011656982

A note on stock market seasonality : the impact of stock price volatility on the application of dummy variable regression model

Chien, Chin-chen; Lee, Cheng F.; Wang, Andrew M. L. - 2024

Persistent link: https://www.econbiz.de/10015046798

Empirical evidence on calendar anomalies in trading and non-trading day returns in Indian stock market

Tuyekar, Suraj Prakash; Padyala, Sri Ram; Ramesh, … - In: Finance India : the quarterly journal of Indian … 37 (2023) 3, pp. 899-918

Persistent link: https://www.econbiz.de/10014583105

Does time-varying illiquidity matter for the Indian stock market? : evidence from high-frequency data

Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, … - In: Australian journal of management 47 (2022) 2, pp. 251-272

Persistent link: https://www.econbiz.de/10013268142

Exploring price gap anomaly in the Ukrainian stock market

Plastun, Alex; Makarenko, Inna; Khomutenko, Lyudmila; … - In: Investment management and financial innovations 16 (2019) 2, pp. 150-158

Persistent link: https://www.econbiz.de/10012122156

Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons

Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …

Persistent link: https://www.econbiz.de/10013499504