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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 19 (2012) 4, pp. 497-510
Persistent link: https://www.econbiz.de/10009615666
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How is the ECB's quantitative easing transmitted to the financial markets?
Aloui, Donia; Ben Maatoug, Abderrazek - In: Studies in economics and finance 41 (2024) 2, pp. 268-285
Persistent link: https://www.econbiz.de/10015049545
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US monetary policy surprises transmission to European stock markets
Chebbi, Tarek; Derbali, Abdelkader - In: International journal of monetary economics and finance 12 (2019) 1, pp. 3-14
Persistent link: https://www.econbiz.de/10012021780
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On monetary policy and stock market anomalies
Kontonikas, Alexandros; Kostakis, Alexandros - In: Journal of business finance & accounting : JBFA 40 (2013) 7/8, pp. 1009-1042
Persistent link: https://www.econbiz.de/10010205968
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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
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Common shocks in stocks and bonds
Cieślak, Anna; Pang, Hao - In: Journal of financial economics 142 (2021) 2, pp. 880-904
Persistent link: https://www.econbiz.de/10013260067
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Common shocks in stocks and bonds
Cieślak, Anna; Pang, Hao - 2020
Persistent link: https://www.econbiz.de/10012216487
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Inflation risk and stock returns : evidence from US aggregate and sectoral markets
Chiang, Thomas C.; Chen, Pei-Ying - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014485580
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The day-of-the-week effect on global stock market volatility after a market shock
Kang, Taehyeon; Cho, Eunyoung - In: Applied economics letters 31 (2024) 8, pp. 696-701
Persistent link: https://www.econbiz.de/10014557841