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What Determines Bank Stock Price Synchronicity? : Global Evidence

Francis, Bill B. - 2016

This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...

Persistent link: https://www.econbiz.de/10012981203

The signal of volatility

Strohsal, Till; Weber, Enzo - 2012

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

Persistent link: https://www.econbiz.de/10009551892

Volatility and Return (Empirical Evidence from Tehran and International Stock Exchanges)

Pakizeh, Kamran - 2012

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE...

Persistent link: https://www.econbiz.de/10013097841

(Ab)Normal Returns in an Emerging Stock Market : International Investor Perspective

Roszkowska, Paulina - 2019

This paper studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000-2013. Through an original implementation strategy based on one- and multi-factor asset pricing models, we find that the potential for...

Persistent link: https://www.econbiz.de/10012903034

The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment

Papakyriakou, Panayiotis - 2019

We consider terrorism acts in G7 countries over the period 1998-2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further...

Persistent link: https://www.econbiz.de/10012891288

Indexing and Stock Market Serial Dependence Around the World

Baltussen, Guido - 2017

negative since the 2000s. This change happens in most stock markets around the world and is both statistically significant and …

Persistent link: https://www.econbiz.de/10012969168

Stock liquidity and default risk around the world

Nadarajah, Sivathaasan - 2020

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of...

Persistent link: https://www.econbiz.de/10012854783

The Determinants of Global Stock Market Reactions to the Russia-Ukraine War

Sun, Meihong; Zhang, Chao; Song, Huasheng - 2022

Since the explosion of the Russia-Ukraine war, the global stock markets have experienced considerable oscillation. Using data for 86 countries, this paper provides a comprehensive analysis to identify the roles of geopolitical, economic, institutional, humanitarian, industrial, and firm-related...

Persistent link: https://www.econbiz.de/10013290103

Heterogeneous Impacts of Wars on Global Equity Markets : Evidence From the Invasion of Ukraine

Boubaker, Sabri; Goodell, John W.; Pandey, Dharen Kumar; … - 2022

Using an event study methodology to examine the impact of the 2022 Russian invasion of Ukraine, we find that this invasion generated negative cumulative abnormal returns for global stock market indices, but with heterogeneous effects. Cross-sectional analysis reveals that economic globalization...

Persistent link: https://www.econbiz.de/10013290510

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