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The turn-of-the-month-effect : evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) model

Giovanis, Eleftherios - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 43-61

The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

Persistent link: https://www.econbiz.de/10010509192

Investigating Seasonal Patterns in Developing Countries : The Case of FYROM Stock Market

Georgantopoulos, Andreas G. - 2019

This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week...

Persistent link: https://www.econbiz.de/10012905636

Holidays, weekends and range-based volatility

Díaz-Mendoza, Ana-Carmen; Alañón Pardo, Ángel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012656917

The day of the week effecton returns, volatility and volume of Shariah index

Munusany, Dharani - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 608-618

Persistent link: https://www.econbiz.de/10011655904

The day-of-the-week effect on Bitcoin return and volatility

Ma, Donglian; Tanizaki, Hisashi - In: Research in international business and finance 49 (2019), pp. 127-136

Persistent link: https://www.econbiz.de/10012136001

Causal relation and dynamic volatility spillover between commodity market and stock market : empirical evidence from India

Kaura, Ruchika; Kishor, Nawal; Rajput, Namita - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 2, pp. 232-253

Persistent link: https://www.econbiz.de/10013252728

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on … global financial crisis, which then boosted the connectedness between commodity and stock markets. Furthermore, the …, pointing to an overall increase in uncertainty in the commodity and equity markets following a major crisis. In recent years …

Persistent link: https://www.econbiz.de/10011914776

A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information

Ma, Feng; Wahab, M. I. M.; Chevallier, Julien; Li, Ziyang - In: Journal of forecasting 42 (2023) 1, pp. 60-75

Persistent link: https://www.econbiz.de/10013465762

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