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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben G. - 2016

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

Persistent link: https://www.econbiz.de/10013004300

The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets

Li, Ziran - 2015

investigates the return and volatility transmission between carbon futures price and a data set of 19 financial, energy and … strong. Despite that spillovers in different phases are different, volatility linkage between carbon futures markets and …

Persistent link: https://www.econbiz.de/10013021794

GARCH modelling of high-capitalization cryptocurrencies’ impacts during bearish markets

Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of central banking theory and practice 9 (2020) 3, pp. 87-106

, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not …

Persistent link: https://www.econbiz.de/10012306791

Contagion effect of cryptocurrency on the securities market : a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models

Afjal, Dr. Mohd - 2022

, Shanghai Stock Exchange, London Stock Exchange, and Dow Jones Industrial Average by analyzing the volatility spillover and … correlation between these markets to understand the short-term and long-term impact of this volatility ranging from the shocks … volatility spillover in the market, its contagion effect, and to identify if there is a long-term and short-term impact between …

Persistent link: https://www.econbiz.de/10013406262

Calendar anomalies in African stock markets

Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

Persistent link: https://www.econbiz.de/10013184417

Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone

Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...

Persistent link: https://www.econbiz.de/10011870707

International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

BTC price volatility : fundamentals versus information

Gbadebo, Adedeji Daniel; Adekunle, Ahmed Oluwatobi; … - In: Cogent business & management 8 (2021) 1, pp. 1-21

This paper offers a plausible response to "what explains the sporadic volatility in the price of Bitcoin?" We … volatility of the price of Bitcoin responds to its transaction volume, cryptocurrency market capitalisation, world market equity … except the equity index positively explain the volatility of Bitcoin price. The result established evidence that market …

Persistent link: https://www.econbiz.de/10012652883

Stock market volatility, speculation and unemployment : a Granger-causality analysis

Algieri, Bernardina; Brancaccio, Emiliano; Buonaguidi, … - In: PSL quarterly review 73 (2020) 293, pp. 137-160

This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on …-2018. Stock price volatility is calculated in terms of "conditional" volatility and in terms of the so-called "Shiller ratio … speculation to stock price volatility. Furthermore, we show that there is an inverse causal relationship ranging from stock prices …

Persistent link: https://www.econbiz.de/10012288289

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

Persistent link: https://www.econbiz.de/10012842392