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Half-life estimates of COVID19, investor sentiment, and the stock market

Xiao, Lin; Aumeboonsuke, Vesarach - In: Thailand and the world economy 41 (2023) 3, pp. 134-158

The half-life is used to estimate the adjustment speed of a variable to a new equilibrium point after being affected by the impulse response of a unit of shocks. The paper examines the adjustment speed of COVID19, investor sentiment, and the stock market through half-life estimates over the...

Persistent link: https://www.econbiz.de/10014439454

Uncovering the effect of news signals on daily stock market performance : an econometric analysis

Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...

Persistent link: https://www.econbiz.de/10014419406

Causality between equity mutual fund flows, stock market return and volatility : Indian evidence

Kaur, Inderjit; Vagrecha, Kamal - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 88-106

Persistent link: https://www.econbiz.de/10014388713

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...