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Stock Market Volatility in Zimbabwe Stock Exchange during Pandemic Period

Bonga, Wellington Garikai; Chimwai, Ledwin; Siyakiya, … - 2022

,1) model and perform a complete analysis considering the results obtained from EGARCH (1,1) and IGARCH (1,1) regressions … fully, and the shocks to conditional variance take longer to die out. Also, an asymmetry exists, implying that bad news and …

Persistent link: https://www.econbiz.de/10013492334

A sectoral analysis of asymmetric nexus between oil price and stock returns

Salisu, Afees A.; Raheem, Ibrahim Dolapo; Ndako, Umar Bida - In: International review of economics & finance : IREF 61 (2019), pp. 241-259

Persistent link: https://www.econbiz.de/10012205416

Option-Implied Asymmetry and Market Returns

O'Sullivan, Conall; Wang, Yan - 2022

estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …

Persistent link: https://www.econbiz.de/10014236004

Forecasting stock market realized volatility : the role of global terrorist attacks

Wen, Danyan; He, Mengxi; Wang, Yudong; Zhang, Yaojie - In: Applied economics 55 (2023) 22, pp. 2551-2566

Persistent link: https://www.econbiz.de/10014295065

Empirical linkage between oil price and stock market returns and volatility : evidence from international developed markets

Dhaoui, Abderrazak; Khraief, Naceur - 2014

This paper examines empirically whether oil price shocks impact stock market returns. Using monthly data for eight developed countries from January 1991 to September 2013, strong negative connections between oil price and stock market returns are found in seven of the selected countries. Oil...

Persistent link: https://www.econbiz.de/10010257720

Basque terrorism : police action, political measures and the influence of violence on the stock market in the Basque Country

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - In: Defence and peace economics 20 (2009) 4, pp. 287-301

Persistent link: https://www.econbiz.de/10003902479

Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model

Elyasiani, Elyas; Mansur, Iqbal - In: Journal of financial stability 28 (2017), pp. 49-65

Persistent link: https://www.econbiz.de/10011825507

Speculative dynamics and price behavior in the Shanghai Stock Exchange

Koutmos, Dimitrios; Song, Wei - In: Research in international business and finance 31 (2014), pp. 74-86

Persistent link: https://www.econbiz.de/10010434017

Testing the risk-return tradeoff in the emerging market of Jordan : what role for financial crises?

Al Refai, Hisham M.; Eissa, Mohamed Abdelaziz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 2, pp. 183-198

Persistent link: https://www.econbiz.de/10011719685

Modeling of stock indices with HMM-SV models

Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011795001