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David, Joel M.; Simonovska, Ina - In: Journal of international economics 99 (2016), pp. 58-77

Persistent link: https://www.econbiz.de/10011655068

David, Joel M. - 2015

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

Persistent link: https://www.econbiz.de/10012457188

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index …, irrespective of the bear and bull market cycles. We also find that this relation is asymmetric in nature i.e. volatility spikes are … to market movements as per the "volatility feedback hypothesis" holding during bear periods only in developed countries …

Persistent link: https://www.econbiz.de/10012219567

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang, Ning; Wang, Aiqun; Ul Haq, Naveed; Nosheen, Safia - In: Economic research 35 (2022) 1,2, pp. 2191-2216

Persistent link: https://www.econbiz.de/10014382070

Emerging and advanced economies markets behaviour during the COVID-19 crisis era

Belaîd, Fateh; Amar, Amine Ben; Goutte, Stéphane; … - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1563-1581

Persistent link: https://www.econbiz.de/10014253425

Price effects after one-day abnormal returns in developed and emerging markets : ESG versus traditional indices

Plastun, Alex; Bouri, Elie; Gupta, Rangan; Ji, Qiang - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013413403

The Stock Exchange of Suriname : returns, volatility, correlations, and weak-form efficiency

Bodeutsch, Denice; Franses, Philip Hans - In: Emerging markets finance & trade : a journal of the … 51 (2015) 1, pp. 130-139

Persistent link: https://www.econbiz.de/10011344353

The stock exchange of Suriname: returns, volatility, correlations and efficiency

Bodeutsch, Denice; Franses, Philip Hans - 2012

Persistent link: https://www.econbiz.de/10010354451

The stock exchange of Suriname: returns, volatility, correlations and weak-form efficiency

Bodeutsch, Denice; Franses, Philip Hans - 2014

Persistent link: https://www.econbiz.de/10010359786

An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets

Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127

Persistent link: https://www.econbiz.de/10012510344