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What drives the tail risk effect in the Chinese stock market?

Sun, Kaisi; Wang, Hui; Zhu, Yifeng - In: Economic modelling 132 (2024)

Persistent link: https://www.econbiz.de/10014547938

A Hawkes process analysis of high-frequency price endogeneity and market efficiency

Zhuo, Jingbin; Chen, Yufan; Zhou, Bang; Lang, Baiming; … - In: The European journal of finance 30 (2024) 9, pp. 949-979

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Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?

Xie, Qichang; Qin, Jingrui; Li, Jianwei - In: Energy strategy reviews 49 (2023), pp. 1-15

This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and implied volatility indices to examine risk...

Persistent link: https://www.econbiz.de/10014548058

Coal price shock propagation through sectoral financial interconnectedness in China's stock market : quantile coherency network modelling and shock decomposition analysis

Zhang, Yan; Xu, Yushi; Zhu, Xintong; Huang, Jionghao - In: Journal of commodity markets : JCM 34 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014548333

Measuring investors’ risk aversion in China’s stock market

Bian, Timothy Yang; Wang, Tianyi; Zhou, Zipeng - In: Finance research letters 42 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10014580420

Does internal control quality improve earnings persistence? : evidence from China's a-share market

Gong, Yuanyuan; Yan, Yongjun; Yang, Nianxiang - In: Finance research letters 42 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10014580440

Could increasing price limits reduce up limit herding? : evidence from China's capital market reform

Ma, Yu; Qian, Wenyu; Luan, Zhiqian - In: Finance research letters 42 (2021), pp. 1-7

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Performance of socially responsible firms during the COVID-19 crisis and trading behavior by investor type : evidence from the Korean stock market

Lee, Sangki; Lee, Dongyoup; Hong, Chunghun; Park, Myung-Ho - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014581727

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

Stock market liberalization and earnings management : evidence from the China-Hong Kong Stock Connects

Chen, Guang; Wang, Min - In: Finance research letters 58 (2023) 2, pp. 1-5

Persistent link: https://www.econbiz.de/10014583847