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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 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/10014332579

Does firm environmental performance mitigate the market reaction to COVID-19 uncertainty?

Bongiovanni, Alessio; Fiandrino, Simona - In: Research in international business and finance 68 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451852

Limit-to-arbitrage factors and IVOL returns puzzle : empirical evidence from Taiwan before and during COVID-19

Khoa Dang Duong; Qui Nhat Nguyen; Truong Vinh Le; Diep … - In: Annals of financial economics 16 (2021) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012650875

Volatility and the Cross-Section of Real Estate Equity Returns during COVID-19

Milcheva, Stanimira - 2020

This paper uses the global systemic shock associated with the outbreak of the novel coronavirus COVID-19 to assess the risk-return relationship in the cross-section of real estate equities internationally. I construct a global COVID-19 risk factor to capture the risk exposure of individual...

Persistent link: https://www.econbiz.de/10012834293

Return and volatility connectedness across global ESG stock indexes : evidence from the time-frequency domain analysis

Wan, Jieru; Yin, Libo; Wu, You - In: International review of economics & finance : IREF 89 (2024) 2, pp. 397-428

Persistent link: https://www.econbiz.de/10014446774

Return and volatility spillovers between energy and BRIC markets : evidence from quantile connectedness

Syed Mabruk Billah; Sitara Karim; Naeem, Muhammad Abubakr; … - In: Research in international business and finance 62 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10014247237

Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis

Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013162433

Equity clusters through the lens of realized semicorrelations

Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013172536

Volatility and the cross-section of real estate equity returns during covid-19

Milcheva, Stanimira - In: The journal of real estate finance and economics 65 (2022) 2, pp. 293-320

Persistent link: https://www.econbiz.de/10013438635

The COVID-19 storm and the energy sector : the impact and role of uncertainty

Szczygielski, Jan Jakub; Brzeszczyński, Janusz; … - In: Energy economics 109 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10013283963