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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - In: Applied economics letters 23 (2016) 16/18, pp. 1305-1311

Persistent link: https://www.econbiz.de/10011702560

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10011964941

Dynamics of Indian stock market and monetary policy

Sharma, Nishi - In: International journal of applied business and economic … 17 (2019) 1, pp. 169-179

Persistent link: https://www.econbiz.de/10012110805

The asymmetric effects of monetary policy on stock market

Jiang, Cheng - In: The quarterly journal of finance 8 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011922027

Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach

Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243

Persistent link: https://www.econbiz.de/10011865998

Stock market interactions between the BRICS and the United States : evidence from asymmetric granger causality tests in the frequency domain

Chang, Tsangyao; Ranjbar, Omid; Jooste, Charl - In: Iranian economic review : journal of University of Tehran 21 (2017) 2, pp. 297-320

Persistent link: https://www.econbiz.de/10011730696

Risk management for a commercial lending portfolio using time series forecasting and small datasets

Ganguli, Tanmoy - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 188-202

Persistent link: https://www.econbiz.de/10011622284

Spurious seasonality detection : a non-parametric test proposal

Bariviera, Aurelio Fernández; Plastino, Angelo; Judge, … - In: Econometrics : open access journal 6 (2018) 1, pp. 1-15

This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the...

Persistent link: https://www.econbiz.de/10011822333

The impact of COVID-19 on the cypriot stock market dynamics

Christodoulou-Volos, Christos; Tserkezos, Dikaios - In: International journal of economics and financial issues … 14 (2024) 4, pp. 214-221

Persistent link: https://www.econbiz.de/10014632255

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