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The Effect of Implicit Market Barriers on Stock Trading and Liquidity

Alhomaidi, Asem - 2018

We compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from...

Persistent link: https://www.econbiz.de/10012928328

Volatility spillovers between interest rates and equity markets of developed economies

Donzwa, Wilson; Gupta, Rangan; Wohar, Mark E. - In: Journal of central banking theory and practice 8 (2019) 3, pp. 39-50

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...

Persistent link: https://www.econbiz.de/10012101454

Stock Market Volatility Dynamics : A Volume Filtered-GARCH Model

Bonelli, Maxime - 2016

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in equity variance. Unlike the standard "Mixture of...

Persistent link: https://www.econbiz.de/10012997324

Short-Term Predictability of Stock Market Indexes Following Large Drawdowns and Drawups

Ratton Brandi, Vinicius - 2018

The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...

Persistent link: https://www.econbiz.de/10012914355

The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes

Joe, Ho Yew - 2017

This paper traces the origin and development of the complex systems theory over the course of history, up to its latest … advancement in the study of stock market crashes. The trail of the theory's fuzzy evolution is expansive that covers the ground of … complex systems theory from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from …

Persistent link: https://www.econbiz.de/10012966774