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The short-term impact of COVID-19 on global stock market indices

Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18

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 … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …

Persistent link: https://www.econbiz.de/10012485328

Is gold a safe haven for the dynamic risk of foreign exchange?

Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17

This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...

Persistent link: https://www.econbiz.de/10012668314

Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems

Lyu, Chenyan; Scholtens, Bert - 2022

weekly return and volatility data, constructed by the daily prices from four markets, covering the period April 2014 …

Persistent link: https://www.econbiz.de/10013405978

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

Ornanong Puarattanaarunkorn; Kittawit Autchariyapanitkul; … - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 310-332

in dependence. Findings - The findings show changes in dependence among the volatility of daily returns in 14 stock … dependency to be compared between stock market volatility before and after the announcement of unlimited QE during the COVID-19 …

Persistent link: https://www.econbiz.de/10014445508

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Princ, Michael - 2010

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Persistent link: https://www.econbiz.de/10010322302

Predicting volatility and correlations with Financial Conditions Indexes

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of empirical finance 29 (2014), pp. 435-447

Persistent link: https://www.econbiz.de/10011300449

An analytical study on volatility and impact of selected sectoral indices on national stock exchange during Covid-19

Lekha Shree.S; Kanniammal, K. - In: Finance India : the quarterly journal of Indian … 37 (2023) 1, pp. 267-279

Persistent link: https://www.econbiz.de/10014414209

Volatility Control Indices

Kahl, Christian - 2015

This document offers an overview of analytical properties of volatility control indices,including the statistical bias …, comparing various volatility estimators and the impact of stochastic interest rates on long-dated volatility target indices …

Persistent link: https://www.econbiz.de/10013010458

Asymmetric effect of macroeconomic variables on the emerging stock indices : a quantile ARDL approach

Hashmi, Shabir; Chang, Bisharat Hussain - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 1006-1024

Persistent link: https://www.econbiz.de/10014253339

Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?

Derbali, Abdelkader; Naoui, Kamel; Ben Sassi, Mounir; … - In: The Chinese economy : translations and studies 55 (2022) 3, pp. 227-242

Persistent link: https://www.econbiz.de/10013204855