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Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises? : New Evidence From Higher Return Moments

Brooks, Robert D. - 2015

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

Persistent link: https://www.econbiz.de/10013036190

Generalized impulse response analysis in a fractionally integrated vector autoregressive model

Do, Hung Xuan; Brooks, Robert Darren; Sirimon Treepongkaruna - In: Economics letters 118 (2013) 3, pp. 462-465

Persistent link: https://www.econbiz.de/10009729131

Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320

Persistent link: https://www.econbiz.de/10012205552

Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Chi, Wei; … - In: Australian journal of management 43 (2018) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10011890710

Dynamic spillover between commodities and commodity currencies during United States Q.E.

Pick Schen Yip; Brooks, Robert; Do, Hung Xuan - In: Energy economics 66 (2017), pp. 399-410

Persistent link: https://www.econbiz.de/10011896519

The nexus between oil and airline stock returns : does time frequency matter?

Asadi, Mehrad; Pham, Son Duy; Nguyen, Thao Thac Thanh; … - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437120

Risk analysis of pension fund investment choices

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Abacus : a journal of accounting, finance and business … 59 (2023) 3, pp. 872-898

Persistent link: https://www.econbiz.de/10014443578

ESG and firm performance : the role of size and media channels

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Economic modelling 121 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014384536

Dynamic volatility spillover effects between oil and agricultural products

Pick Schen Yip; Brooks, Robert; Do, Hung Xuan; Nguyen, … - In: International review of financial analysis 69 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012316894

Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Energy economics 86 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012511747