The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … sensitive to bad news indicating that negative information shock heightens market risk more than positive shock due to increased …. Also, the study observes a positive return transmission between Japan and Nigeria only, suggesting that, investors could …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well …

driven by return chasing behaviour of investors during bull markets. We also find that volatility increases after stock price …Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with …

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …

expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from …

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns … between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a … country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable …

the strong leverage effect indicating completely different specification of volatility regimes by the MS-GJR-GARCH model. … the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the … traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH …