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Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model

Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

Persistent link: https://www.econbiz.de/10014516032

Aggregating sentiment in Europe : the relationship with volatility and returns

Gambarelli, Luca; Muzzioli, Silvia - 2023

Persistent link: https://www.econbiz.de/10014516165

The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022

returns and increased volatility on the UK stock market. …

Persistent link: https://www.econbiz.de/10013428887

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

Persistent link: https://www.econbiz.de/10013397677

The impact of the selected macroeconomic indicators’ volatility on the performance of South African JSE-listed companies : a pre-and post- Covid-19 study

Benson, Ajeigbe Kola; Habanabakize, Thomas; Fortune, Ganda - 2022

Persistent link: https://www.econbiz.de/10013397731

Spreads and volatility in house returns

Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16

-sectional idiosyncratic volatility. Housing data are infrequent and usually made available every month. The monthly-quarterly volatility …

Persistent link: https://www.econbiz.de/10013382201

Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

Persistent link: https://www.econbiz.de/10013384831

Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model

Tan, Shay Kee; Chan, Jennifer So Kuen; Kok Haur Ng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 437-474

Persistent link: https://www.econbiz.de/10013334835

COVID-19's impacts on the Korean stock market

Choi, Changkyu; Jung, Hojin - In: Applied economics letters 29 (2022) 11, pp. 974-978

Persistent link: https://www.econbiz.de/10013411995

Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK

Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii … lower expected volatility. UK investors should avoid callable notes and choose notes with a longer time to maturity, where …

Persistent link: https://www.econbiz.de/10013471220