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Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

A study of the impact between the macroeconomic variables and the Brazilian stock exchange index through the vector autoregression and the vector error correction

Arruda Filho, Rubens Paes; Lima, Fabiano Guasti; … - In: Journal of international business and economics : JIBE 13 (2013) 2, pp. 109-116

Persistent link: https://www.econbiz.de/10009789548

The interactions between oil prices and Borsa Istanbul sector indices

Cagli, Efe Çaglar; Taşkın, Fatma Dilvin; Mandacı, … - In: International journal of economic policy in emerging … 7 (2014) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10010413324

Uncovering the effect of news signals on daily stock market performance : an econometric analysis

Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...

Persistent link: https://www.econbiz.de/10014419406

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863