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Has COVID-19 changed the correlation between cryptocurrencies and stock markets?

Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156

The COVID-19 pandemic has challenged the notion that cryptocurrencies are uncorrelated with traditional asset markets. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European stock market indices from January 4, 2016, to February...

Persistent link: https://www.econbiz.de/10014445351

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

Purpose - Unlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock...

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

The Short-Term Impact of COVID-19 on Global Stock Market Indices

Singh, Gurmeet; Shaik, Muneer - 2021

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/10013227586

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

Persistent link: https://www.econbiz.de/10014636061

Do Style and Sector Indexes Carry Momentum?

Chen, Linda H. - 2012

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

Persistent link: https://www.econbiz.de/10013101290

Integration of Macroeconomic Variables and Stock Market-A Comparison of Conventional and Islamic Indexes

Hanif, Muhammad - 2019

This study is conducted to understand and document the long as well as short-run equilibrium among important macroeconomic indicators and Equity markets (including Islamic and conventional) in post Shari'ah-screening era in Pakistan. We have included seven macroeconomic variables—inflation,...

Persistent link: https://www.econbiz.de/10012904682

Integration of Macroeconomic Variables and Stock Market-A Comparison of Conventional and Islamic Indexes

Hanif, Muhammad - 2020

Persistent link: https://www.econbiz.de/10012854359

The Impact of Indexing in the Equity and Commodity Markets

Till, Hilary - 2015

The impact of indexing is exceptionally well documented in the equity markets. The same has not yet been the case for the commodity markets. Our empirical results suggest that one should see increased price-pressure effects in the commodity markets with any increase in the popularity of...

Persistent link: https://www.econbiz.de/10013021531

The COVID-19 Global Fear Index, Realized Volatility and Jump

Ahadzie, Richard Mawulawoe - 2021

This paper subjects the global fear index (GFI) for the COVID-19 pandemic to an empirical investigation to determine its relationship with realized volatility, continuous volatility, and jump volatility for seven international indices. The results show evidence of a positive relationship between...

Persistent link: https://www.econbiz.de/10013217715

Multi-Style Global Equity Investing : A Statistical Study on Combining Fundamentals, Momentum, Risk, and Valuation for Improved Performance

Garff, David - 2015

Factor exposures exhibit alpha across countries, not just within countries, and momentum and valuation factors generate the greatest outperformance. These factors exhibit low correlations to each other, creating valuable diversification opportunities for portfolio managers. Long-only multi-style...

Persistent link: https://www.econbiz.de/10013032936