Showing 151 - 160 of 875,011
There is a big controversy among both investment professionals and academics regarding the question of how the probability that a bull or bear market terminates depends on its age. Using more than two centuries of data on the broad US stock market index, in this paper we revisit the duration...
Persistent link: https://www.econbiz.de/10012833990
This study investigates whether contagious infectious diseases affect stock market outcomes. As a natural experiment, we use panel data analysis to test the effect of the COVID-19 virus, which is a contagious infectious disease, on the Chinese stock market. The findings indicate that both the...
Persistent link: https://www.econbiz.de/10012836638
Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...
Persistent link: https://www.econbiz.de/10012860225
Some calendar anomalies are not persistent in time. They experience various changes, including the modifications on their specific time intervals. This paper approaches the persistence in time of the abnormal returns of stock returns from United States capital market during the...
Persistent link: https://www.econbiz.de/10012861241
Given the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods....
Persistent link: https://www.econbiz.de/10012667474
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10012494826
South Korea has proven resilient through crises. During the COVID-19 pandemic, Korea has used testing and contact tracing to keep the number of cases per capita far below those in the U.S. and Europe. This paper uses sectoral stock returns to gauge the impact of the pandemic on the Korean...
Persistent link: https://www.econbiz.de/10012816144
This study analyzes the firm-specific factors affecting the dividend payout decisions of the companies whose shares are traded on the Borsa Istanbul stock exchange. To this end, the dynamic panel regression is applied to 853 observations of yearly average of 106 companies listed on the Borsa...
Persistent link: https://www.econbiz.de/10011963966
This paper assesses the effect of political institutions on stock market performance in 14 African countries for which stock market data is available for the period 1990-2010. The estimation technique used is a Two-Stage-Least Squares Instrumental Variable methodology. Political regime channels...
Persistent link: https://www.econbiz.de/10012936040
In this paper we investigate how the progress of market-oriented reforms such as privatization affects stock return volatility and how this impact varies with the level of economic development. We show that privatization is related to volatility via political risk. Indeed, a privatization...
Persistent link: https://www.econbiz.de/10012974073