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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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Weather effects on stock returns and volatility in South Asian markets
Sheikh, Muhammad Fayyaz; Ali Shah, Syed Zulfiqar; … - In: Asia-Pacific financial markets 24 (2017) 2, pp. 75-107
Persistent link: https://www.econbiz.de/10011797611
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
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Average tail risk and aggregate stock returns
Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
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Does the weather affect stock market volatility?
Symeonidis, Lazaros; Daskalakis, George; Markellos, … - In: Finance research letters 7 (2010) 4, pp. 214-223
Persistent link: https://www.econbiz.de/10009272751
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Impact of Weather on Return and Volatility : Evidence from Indian Stock Market
Narayanamoorthy, Vijayakumar - 2016
This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses … in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata … the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January …
Persistent link: https://www.econbiz.de/10013004024
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Does weather still affect the stock market? : new insights into the effects of weather on returns, volatility and trading volume
Muhlack, Nils; Soost, Christian; Henrich, Christian Johannes - In: Schmalenbach journal of business research : SBUR 74 (2022) 1, pp. 1-35
pressure, precipitation, temperature, and wind speed as weather variables. We use stock market data (returns, trading volume …This paper examines the impact of weather phenomena on the German stock market, evaluating cloud cover, humidity, air …, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time …
Persistent link: https://www.econbiz.de/10013199375
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Testing weather effect anomalies : time varying evidence from selected stock markets
Zeren, Feyyaz; Gumus, Fatih Burak - In: International journal of economic perspectives : IJEP 9 (2015) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10011579201
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Nonlinear effects of temperature on returns and investor optimism-pessimism from winner and loser stocks
Huang, Chai-liang; Sugianto, Lai Ferry; Yun, Mu Shu - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-76
Persistent link: https://www.econbiz.de/10014305133