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Market Volatility, Liquidity Shocks, and Stock Returns : Worldwide Evidence

Ma, Rui - 2018

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

Persistent link: https://www.econbiz.de/10012932170

Quantile dependencies between discontinuities and time-varying rare disaster risks

Gillas, Konstantinos Gkillas; Floros, Christos; … - In: The European journal of finance 27 (2021) 10, pp. 932-962

Persistent link: https://www.econbiz.de/10012609242

Crude oil shocks and African stock markets

Enwereuzoh, Precious Adaku; Mensah, Jones Odei; Owusu … - In: Research in international business and finance 55 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013270246

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Kwon, Dohyoung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013184361

Investor types' trading around the short-term reversal pattern

Onishchenko, Olena; Ülkü, Numan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2627-2647

Persistent link: https://www.econbiz.de/10013184916

Oil price shocks and the US stock market : a nonlinear approach

Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36

Persistent link: https://www.econbiz.de/10013259395

Oil shocks and stock market : revisiting the dynamics

B., Anand; Paul, Sunil - In: Energy economics 96 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012816327

The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns : a quantile regression approach

Das, Debojyoti; Kannadhasan, M. - In: International review of economics & finance : IREF 69 (2020), pp. 563-581

Persistent link: https://www.econbiz.de/10012487016

Idiosyncratic volatility shocks, behavior bias, and cross-sectional stock returns

Fenner, Richard Gunther; Han, Yufeng; Huang, Zhaodan - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 276-293

Persistent link: https://www.econbiz.de/10012416652