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Market Depth and Risk Return Analysis of Dhaka Stock Exchange : An Empirical Test of Market Efficiency

Alam, Md. Mahmudul - 2020

It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In...

Persistent link: https://www.econbiz.de/10012854735

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

The outbreak of COVID-19 pandemic and its impact on volatility of Indian stock market : evidence from top ten stocks of Bombay Stock Exchange

Vikram; Mohanty, Debasis; Agrawal, Archa - In: African journal of accounting, auditing and finance : AJAAF 8 (2022) 1, pp. 9-105

Persistent link: https://www.econbiz.de/10013326319

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

Modelling & Forecasting Volatility of Daily Stock Returns Using GARCH Models : Evidence from Dhaka Stock Exchange

Ahmed, Md. Tuhin; Naher, Nurun - 2021

Modelling volatility has become increasingly important in recent times for its diverse implications. The main purpose … of this paper is to examine the performance of volatility modelling using different models and their forecasting accuracy … Autoregressive Conditional Heteroscedastic (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedastic (APARCH), Exponential …

Persistent link: https://www.econbiz.de/10013214948

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model

Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

Persistent link: https://www.econbiz.de/10014516032

An Empirical Analysis on the Dhaka Stock Exchange (DSE) Financial Crisis

Khandaker, Sarod - 2015

This paper examined the Dhaka Stock Exchange (DSE) financial crisis in 1997 and also analyzed stock price co-movement behavior of the DSE from 1996 to 2004.The study found evidence that the DSE stocks were more volatile in the South-Asian region during the sample period, and its financial crisis...

Persistent link: https://www.econbiz.de/10013010855

The impact of investor sentiment on sectoral returns and volatility : evidence from the Johannesburg Stock Exchange

Muguto, Hilary Tinotenda; Muguto, Lorraine; Bhayat, Azra; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

Persistent link: https://www.econbiz.de/10014500435

A study on unfolding asymmetric volatility in selected IT stocks in NSE

Suryanarayana, K.S.; Kandi, V. S. Prasad; Yasaswi, K. … - In: International journal of electronic finance : IJEF 14 (2025) 2, pp. 214-228

Persistent link: https://www.econbiz.de/10015357833