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

Palanska, Tereza - In: Finance a úvěr 70 (2020) 1, pp. 42-69

Persistent link: https://www.econbiz.de/10012483193

Relationship between exchange rate and stock market volatility in India : an empirical analysis

Charithra C. M.; Vikas, Bhavya; Sharma, Mukund - In: Finance India : the quarterly journal of Indian … 35 (2021) 4, pp. 1103-1111

Persistent link: https://www.econbiz.de/10013257900

Are frontier stock markets more inefficient than emerging stock markets?

Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284

Persistent link: https://www.econbiz.de/10010412983

Seasonality in the Thai stock market : the lottery effect

Surachai Chancharat; Wilaiporn Paisarn; Sattra Maporn - In: International journal of economic policy in emerging … 12 (2019) 6, pp. 542-555

Persistent link: https://www.econbiz.de/10012254767

Testing weak form of stock market efficiency at the Macedonian stock exchange

Angelovska, Julijana - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 133-144

. Tests are performed for daily returns on sample spanning from January 4th 2005 to April 2nd 2018. The application of Random …

Persistent link: https://www.econbiz.de/10012178440

Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates

Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332

This study examines the day-of-the-week effect in the Nigerian foreign exchange market (Naira against the US dollars), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1),...

Persistent link: https://www.econbiz.de/10011535278

Revising the turn-of-the-month effect study : why does it fade and reappear? : practical policy implications and thoughts for further research

Vasileiou, Evangelos - In: International journal of banking, accounting and finance 8 (2017) 2, pp. 146-173

Persistent link: https://www.econbiz.de/10011846578

The efficient market hypothesis and calendar anomalies : a literature review

Rossi, Matteo - In: International journal of managerial and financial accounting 7 (2015) 3/4, pp. 285-296

Persistent link: https://www.econbiz.de/10011524436

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz Ur; Naseem, … - In: Cogent business & management 10 (2023) 1, pp. 1-25

capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 … currencies, the December returns showed a significantly higher pattern as compared to January. This tendency indicates some … prospects of lucrative trading. However, the evidence of negative Monday returns in this period is somewhat consistent with the …

Persistent link: https://www.econbiz.de/10014466532

"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables

Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546

Persistent link: https://www.econbiz.de/10009710165