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An Assessment of Correlation between Twitter Sentiments Indicators and Stock Market Indicators, with Reference to BSE and NSE in India
Selvam, Murugesan; Kathiravan, Chinnadurai; … - 2021
referenceto BSE and NSE in India. This study used secondary dailytime-series data, for a period of two years, from 01.01.2018 to31 ….12.2019. Statistical tools, such as Descriptive Statistics andA correlation Matrix was employed to perform the analysis. It wasfound from … the correlation analysis that there was a relationshipbetween Twitter sentiments indicators and stock market indicators …
Persistent link: https://www.econbiz.de/10013217647
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Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India
Shah, Anand; Bahri, Anu - 2021
This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 ….0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …
Persistent link: https://www.econbiz.de/10013229520
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011296721
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …
Persistent link: https://www.econbiz.de/10011745369
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …
Persistent link: https://www.econbiz.de/10014353334
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Trends in Stock-Bond Correlations
Okimoto, Tatsuyoshi - 2017
Previous research document the existence of long-run trends in comovements in the stock and bond markets. Following these findings, this paper examines possible trends in stock- bond return correlations. To this end, we introduce a trend component into a smooth transition regression (STR) model...
Persistent link: https://www.econbiz.de/10012950926
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Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation
Asgharian, Hossein - 2019
significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …
Persistent link: https://www.econbiz.de/10012899727
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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12
developed economies (the United States, the United Kingdom, and Japan) to selected emerging markets (China, India, Thailand …
Persistent link: https://www.econbiz.de/10013256277
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Spatial Modeling of Stock Market Comovements
Fernandez-Aviles, Gema - 2014
allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise …
Persistent link: https://www.econbiz.de/10013055629