We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...

History is important to the study of financial bubbles precisely because they are extremely rare events, but history can be misleading. The rarity of bubbles in the historical record makes the sample size for inference small. Restricting attention to crashes that followed a large increase in...

We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are...

This paper examines the impact of COVID-19 information attention on stock market return. We use Google search volume index to proxy investor information attention in respect to case, death, lockdown and vaccine. We uncover that information attention towards lockdown and vaccine positively...

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

This study applies financial crises as an exogenous shock to family and non-family firms to identify differences in stock market performance. We investigate 278 firms listed on the German Stock Exchange in the world financial crisis starting in 2007 as well as the Euro crisis starting in 2010....

This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

This study examined the relationship between macroeconomic variable volatility and stock market return within the context of Blanchard (1981) extension of the Hicks (1937) IS-LM hypothesis, using exponential general autoregressive conditional heteroskedascity estimation techniques to analysis...

This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the aftermath of the Brexit vote. We find significant evidence of...