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Does Shanghai-Hong Kong Stock Connect Drive Market Comovement between Shanghai and Hong Kong : A New Evidence

Ma, Rufei - 2018

This paper examines whether the Shanghai-Hong Kong Stock Connect program drivesmarket comovement between Shanghai and Hong Kong. We distinguish financial liberalization induced market comovement from that induced by other factors through comparing time-varying market correlations of...

Persistent link: https://www.econbiz.de/10012910952

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Persistent link: https://www.econbiz.de/10014254828

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Persistent link: https://www.econbiz.de/10014258401

Does Realized Skewness Predict the Cross-Section of Chinese Equity Returns?

Jiang, Yuexiang; Long, Huaigang; Zaremba, Adam - 2023

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...

Persistent link: https://www.econbiz.de/10014353753

Does realized skewness predict the cross-section of Chinese stock returns?

Jiang, Yuexiang; Long, Huaigang; Zaremba, Adam - In: Finance research letters 58 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014583518

Crude oil volatility forecasting : insights from a novel time-varying parameter GARCH-MIDAS model

Peng, Lijuan; Liang, Chao; Wang, Lu - In: International review of economics & finance : IREF 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014583437

Measurement, identification, and spillover effects of systemic risk in the international clean energy market

Cui, Lianbiao - In: Energy strategy reviews 52 (2024), pp. 1-14

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in … erupt more than twice. The volatility in any specific sub-sector within the ICEM can propagate throughout the entire system …. The spillover pattern of volatility in the ICEM shows similarities across various economic cycles. The fuel cell market is …

Persistent link: https://www.econbiz.de/10014583304

Irrational Exuberance

Shiller, Robert J. - 2015 - Revised and expanded third edition

Volatility in a Free Society -- Appendix. Nobel Prize Lecture: Speculative Asset Prices -- Notes -- References -- Index …-subprime boom may well turn out to be another illustration of Shiller's influential argument that psychologically driven volatility …

Persistent link: https://www.econbiz.de/10014481666

Structural electricity price models and volatile renewable infeed

Wagner, Andreas - 2013

Persistent link: https://www.econbiz.de/10010236624

Steuern in volatilen Zeiten : wie Unternehmenskultur und Instrumente zusammenspielen

Schäffer, Utz (contributor); … - 2014 - 1. Aufl.

Persistent link: https://www.econbiz.de/10010376682