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Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets : A Markov Switching EGARCH Approach

Khallouli, Wajih - 2010

subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

Persistent link: https://www.econbiz.de/10013137463

How the Australian Ban on Short Selling During the GFC Affected Market Quality and Volatility

Henker, Thomas - 2011

bid and ask spreads and increased intraday volatility. Moreover, there appears to be no evidence for lasting price support …

Persistent link: https://www.econbiz.de/10013117625

Stock Market Volatility of the Financial Industry After TARP

Yildirim, Sinan - 2018

This paper analyzes stock market volatility for the financial industry after the TARP (Troubled Asset Relief Program …) legislation was passed. The purpose of this paper is to determine how TARP money affected short-term volatility of the market … measure volatility by employing the following methods: in order to measure intraday volatility, Parkinson (1980) and Garman …

Persistent link: https://www.econbiz.de/10012921945

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012226706

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10011471074

Bank Dividend-Cuts and the Stock Market Reaction Around the Great Recession

Zia, Mujtaba - 2018

We study investors' reaction to dividend decreases and omissions in the US banking industry during the Great Recession of 2007 and 2008 and compare it to the reaction in the years before and after the crisis. Conducting standard event study approach, we find that investors didn't react...

Persistent link: https://www.econbiz.de/10012928585

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

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....

Persistent link: https://www.econbiz.de/10012039605

Volatility Transmission from S&P 500 to the Bucharest Stock Exchange Indexes

Dumitriu, Ramona - 2014

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest … of six main indexes from Bucharest Stock Exchange. The volatility transmission from Standard and Poor 500 to the Romanian … the volatility transmission intensity increased from the first to the second period …

Persistent link: https://www.econbiz.de/10013049393

Analyzing the Structural Breaks and the Exchange Market Turbulence on Volatility Spillovers Between Exchange Rates and Tehran Stock Exchange

Gholizadeh, Mohammadmehdi; Erfani, Alireza - 2021

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...

Persistent link: https://www.econbiz.de/10013250208

Can Individual/Naive Investors Infer Valuable Information from Institutional Investors' Trades? Evidence from the Casablanca Stock Exchange

Farooq, Omar - 2010

Do different institutional investors possess different sets of information? The extent to which different institutional investors offer different information to individual/naive investors remains an interesting question in information poor emerging stock markets. Using a comprehensive data of...

Persistent link: https://www.econbiz.de/10013140250