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Nigeria stock market volatility in comparison with some countries : application of asymmetric GARCH models

Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160

volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …

Persistent link: https://www.econbiz.de/10011460578

Volatility transmission between bond and stock markets : case of emerging financial markets

Saadaoui, Amir; Boujelbene, Younes - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 6, pp. 84-97

Persistent link: https://www.econbiz.de/10011508595

Volatility transmission between money and stock markets : evidence from a developing financial market

Emenike, Kalu O. - In: Journal of economic and financial sciences 9 (2016) 1, pp. 244-255

Persistent link: https://www.econbiz.de/10011537675

Return and volatility spillover between stock price and exchange rate : Indian evidence

Majumder, Sayantan Bandhu; Nag, Ranjanendra Narayan - In: International journal of economics and business research 10 (2015) 4, pp. 326-340

Persistent link: https://www.econbiz.de/10011449241

Oil price shocks and stock markets in ASEAN-5

Koh, Wee Chian - In: Southeast Asian journal of economics 3 (2015) 1, pp. 143-164

Persistent link: https://www.econbiz.de/10011452277

The impact of securities transaction taxes on the Chinese stock market

Su, Yongyang; Zheng, Lan - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 32-46

Persistent link: https://www.econbiz.de/10009299039

Volatility transmission between the Japanese stock market and the Western stock market indices : time & frequency domain connectedness analysis with high-frequency data

Akdoğu, Serpil Kahraman; Keser, Merve - In: Applied economics 54 (2022) 6, pp. 670-684

Persistent link: https://www.econbiz.de/10012874238

External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices

Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …

Persistent link: https://www.econbiz.de/10012797403

Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain

Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32

models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …

Persistent link: https://www.econbiz.de/10012800500

Stock market volatility spillovers in G7 and BRIC

Zhang, Ping; Sha, Yezhou; Xu, Yifan - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 7, pp. 2107-2119

Persistent link: https://www.econbiz.de/10012549873