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Time-Varying Behavior of Stock Prices, Volatility Dynamics and Beta Risk in Industry Sector Indices of the Shanghai Stock Exchange

Koutmos, Dimitrios - 2014

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset...

Persistent link: https://www.econbiz.de/10013053876

The Day of the Week Effect Patterns on Stock Market Return and Volatility : Evidence for the Athens Stock Exchange

Kenourgios, Dimitris - 2014

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and...

Persistent link: https://www.econbiz.de/10013047570

Does the Financial Crisis Influence the Month and the Trading Month Effects? Evidence from the Athens Stock Exchange

Vasileiou, Evangelos - 2015

The aim of this study is to examine the month and the trading month effect under changing financial trends. We choose the Greek stock market to implement our assumption because there are clear and long term periods of financial growth and recession. Daily financial data from Athens Exchange...

Persistent link: https://www.econbiz.de/10013034833

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …

Persistent link: https://www.econbiz.de/10011431447

Behavior of Stock Market Index in the Stock Exchange of Thailand

Jiranyakul, Komain - 2013

In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and...

Persistent link: https://www.econbiz.de/10013083615

'The Impact of Major Terrorist Attacks on Stock Prices : The Case of Karachi Stock Exchange'

Rehman, Seema; Khilji, Jameel Ahmed; Kashif, Muhammad; … - 2022

Terrorist attacks tend to happen concomitantly, begetting widespread violence, perturb individual routine life, bring dire effect on the economy and ultimately cause volatility in stock prices. This research tries to assess the impact of substantial terrorist incidents that took place in the...

Persistent link: https://www.econbiz.de/10013294214

An empirical analysis of momentum profitability, seasonality, and reversibility at Nairobi Stock Exchange

Lishenga, Lisiolo - In: Journal of finance and investment analysis 1 (2012) 3, pp. 73-98

In this thesis, we employed data from the NSE to investigate the existence of the price momentum effect, the profitability of momentum trading strategies, and the possibility of seasonal and reversal patterns in the profitability. We formed relative strength strategies for all stocks listed over...

Persistent link: https://www.econbiz.de/10009671170

Indian Stock Market : Functions and Importance

Naved, Mohd - 2015

the modern financial system in India with the help of government documents, journals and valuable books for meaningful …

Persistent link: https://www.econbiz.de/10013023257

A new method for estimating liquidity and stock returns in Indian stock market

Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the equity market....

Persistent link: https://www.econbiz.de/10014555463

Impact of CSR on the Stock Returns of Indian Companies

Jagadeesh, M - 2021

relationship between CSR and stock price of India listed companies. The proper reason behind CSR spending’s and its impact …

Persistent link: https://www.econbiz.de/10014361794