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Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective
Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9
volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …
Persistent link: https://www.econbiz.de/10012626774
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Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries
Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...
Persistent link: https://www.econbiz.de/10013464376
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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …
Persistent link: https://www.econbiz.de/10013161497
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Volatility spillover between stock returns and oil prices during the Covid-19 pandemic in ASEAN
Alexandri, Mohammad Benny; Supriyanto - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 126-133
Persistent link: https://www.econbiz.de/10013169343
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The Egyptian stock market's reaction to the COVID-19 pandemic
Abouelfarag, Hanan AbdelKhalik; Qutb, Rasha - In: African journal of economic and management studies 13 (2022) 2, pp. 251-267
Persistent link: https://www.econbiz.de/10013279334
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Love in the time of COVID-19 : the resiliency of environmental and social stocks
Albuquerque, Rui; Koskinen, Yrjö; Yang, Shuai; Zhang, … - 2020
Persistent link: https://www.econbiz.de/10012231324
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Spatial tale of G-7 and BRICS stock markets during COVID-19 : an event study
Ledwani, Sanket; Chakraborty, Suman; Shenoy, Sandeep S. - In: Investment management and financial innovations 18 (2021) 2, pp. 20-36
Persistent link: https://www.econbiz.de/10012698109
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Share return volatility during the COVID-19 pandemic in the Indonesia Stock Exchange
Fordian, Dian; Sam'un Jaja Raharja - In: International journal of trade and global markets 17 (2023) 3/4, pp. 307-318
Persistent link: https://www.econbiz.de/10014313088
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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …
Persistent link: https://www.econbiz.de/10013397677
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A new world post COVID-19 : lessons for business, the finance industry and policy makers
Billio, Monica (ed.); Varotto, Simone (ed.) - 2020 - 1st edition
Persistent link: https://www.econbiz.de/10012307709