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reference to BSE and NSE in India. This study used secondary daily time series data, for a period of two years, from 01 ….01.2018 to 31.12.2019. Statistical tools, such as Descriptive Statistics and Correlation Matrix, were employed to perform the … analysis. It was found from the correlation analysis that there was a relationship between Twitter sentiments indicators and …
Persistent link: https://www.econbiz.de/10013213769
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
In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger...
Persistent link: https://www.econbiz.de/10011477855
Persistent link: https://www.econbiz.de/10009784937
-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …
Persistent link: https://www.econbiz.de/10013007323
We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …
Persistent link: https://www.econbiz.de/10011545240
The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...
Persistent link: https://www.econbiz.de/10014236561
This paper investigates the correlation and feedback relationships between the Hong Kong Hang Seng Index (HSI), the …
Persistent link: https://www.econbiz.de/10013016750
. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … are dependent during crisis periods, but not during non-crisis periods. This confirms the time-varying correlation between …
Persistent link: https://www.econbiz.de/10014445351
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global financial stock market indices. We study the impact...
Persistent link: https://www.econbiz.de/10013227586