Similar Search Results

Stand Still and Do Nothing : COVID-19 and Stock Returns and Volatility

Akbar, Muhammad - 2020

We examine the intraday returns and volatility in the US equity market amid the COVID-19 pandemic crisis. Our empirical … results suggest increase in volatility overtime with mostly negative returns and higher volatility in last trading session of … stock returns and realised volatility …

Persistent link: https://www.econbiz.de/10012824134

The determinants of the COVID-19 related stock price overreaction and volatility

Sun, Yiyang Val; Liu, Bin; Prodromou, Tina - In: Studies in economics and finance 39 (2022) 1, pp. 125-149

Persistent link: https://www.econbiz.de/10012798504

The impact of COVID-19, day-of-the-week effect, and information flows on Bitcoin's return and volatility

Liu, Ying Sing; Lee, Liza - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 11, pp. 45-53

Persistent link: https://www.econbiz.de/10012671625

Contagion effect of COVID-19 on stock market returns : role of gold prices, real estate prices, and US dollar exchange rate

Chaudhry, Naveed Iqbal; Asad, Humaira; Abdulghaffar, Mahwish - In: Pakistan journal of commerce and social sciences 15 (2021) 3, pp. 614-635

The purpose of this study is to empirically analyze the contagion effects of the COVID-19 pandemic on stock returns of the Pakistan Stock Exchange (PSX). In this context, the causal changes of three major macroeconomic indicators i.e. gold prices, prices of real estate, and the US exchange rate...

Persistent link: https://www.econbiz.de/10012655283

Rare earth and allied sectors in stock markets : extreme dependence of return and volatility

Bouri, Elie; Kanjilal, Kakali; Ghosh, Sajal; Roubaud, David - In: Applied economics 53 (2021) 49, pp. 5710-5730

Persistent link: https://www.econbiz.de/10012626945

Modeling Stock Returns Using Asymmetric Garch-Icapm with Mixture and Heavy-Tailed Distributions : An Application to COVID-19 Pandemic Forecasts

Khanthaporn, Rewat; Wichitaksorn, Nuttanan - 2021

COVID-19 pandemic is an extreme event that created a turmoil in stock markets around the world. This unexpected circumstance poses a critical question whether the prevailing models can help predict the plummets of indices, hence the returns. In this study, we model the stock returns using...

Persistent link: https://www.econbiz.de/10013236407

Predicting stock returns and volatility in BRICS countries during a pandemic : evidence from the novel wild bootstrap likelihood ratio approach

Özkan, Oktay; Olasehinde-Williams, Godwin; Olanipekun, … - In: Finance a úvěr 72 (2022) 2, pp. 124-149

Persistent link: https://www.econbiz.de/10013271554

Investor sentiments and stock markets during the COVID-19 pandemic

Cevik, Emre; Kirci Altinkeski, Buket; Cevik, Emrah Ismail; … - In: Financial innovation : FIN 8 (2022), pp. 1-34

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … investor sentiments using the Google Search Volume Index for terms related to the coronavirus disease (COVID-19) and COVID-19 … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …

Persistent link: https://www.econbiz.de/10013272311

COVID-19 and asymmetric volatility spillovers across global stock markets

Li, Wenqi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013186520

Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - In: Annals of financial economics 17 (2022) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10013189116