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The P/E ratio, the business cycle, and timing the stock market

Park, Sangkyun - In: The journal of portfolio management : JPM 47 (2021) 8, pp. 165-183

Persistent link: https://www.econbiz.de/10012613451

The "COVID" crash of the 2020 US Stock market

Shu, Min; Song, Ruiqiang; Zhu, Wei - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013186572

Dynamics of contagion and spillover effects : further evidence from major equity markets

Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10012665862

Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach

Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012667335

Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility

Baruník, Jozef; Kukačka, Jiří - 2013

This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market … the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this … behavior. Results suggest that the proposed methodology provides an important shift in application of catastrophe theory to …

Persistent link: https://www.econbiz.de/10010206135

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Identifying fragility for the stock market : Perspective from the portfolio overlaps network

Li, Lin; Guo, Xin-Yu - In: Journal of international financial markets, … 62 (2019), pp. 132-151

Persistent link: https://www.econbiz.de/10012262449

Applying Approximate Entropy (ApEn) to speculative bubble in the stock market

Bhaduri, Saumitra N. - In: Journal of emerging market finance 13 (2014) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10011570991

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871