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The connectedness between Twitter uncertainty index and stock return volatility in the G7 countries

Behera, Chinmaya; Rath, Badri Narayan - In: Applied economics letters 29 (2022) 20, pp. 1876-1879

Persistent link: https://www.econbiz.de/10013412322

High frequency volatility spillover effect based on the Shanghai-Hong Kong Stock Connect Program

Zhang, Qiang; Jaffry, Shabbar - In: Investment management and financial innovations 12 (2015) 2, pp. 8-15

Persistent link: https://www.econbiz.de/10011500123

Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program

Lin, Wensheng - In: Economic modelling 67 (2017), pp. 346-354

Persistent link: https://www.econbiz.de/10011813838

The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference

Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014446963

Uncovering the effect of news signals on daily stock market performance : an econometric analysis

Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...

Persistent link: https://www.econbiz.de/10014419406

Connectedness between sectors : the case of the polish stock market before and during COVID-19

Chirilă, Viorica - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-19

-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the … caused by the outbreak of COVID-19 rather than before the crisis. The volatility of each sector was also primarily due to … their own volatility. Thirdly, the banking sector was the main sector with respect to volatility spillover. The results that …

Persistent link: https://www.econbiz.de/10013375120

Dynamics of spillover among sectors of Indian stock market before and during COVID-19

Padmasree, Karamala - In: Mudra : journal of finance and accounting 10 (2023) 2, pp. 99-117

Persistent link: https://www.econbiz.de/10014488995

Volatility spillovers between stock and energy markets during crises : a comparative assessment between the 2008 global financial crisis and the Covid-19 pandemic crisis

Jebabli, Ikram; Kouaissah, Noureddine; Arouri, Mohamed - In: Finance research letters 46 (2022) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10013341502

Media sentiment and short stocks performance during a systemic crisis

Umar, Zaghum; Adekoya, Oluwasegun B.; Oliyide, Johnson A.; … - In: International review of financial analysis 78 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013252754

Structural change, information asymmetry and volatility in Indian stock market : evidence from pre-and-post-COVID-19 outbreak

Mohanasundaram, T.; Rizwana, M.; Sathyanarayana, Shyam … - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 3, pp. 412-431

Persistent link: https://www.econbiz.de/10014546120