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Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Persistent link: https://www.econbiz.de/10014501255

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Investor Activism and Mergers and Acquisitions (M&A)

Singh, Akshay - 2016

This study analyzed activism that leads to a merger or acquisition (M&A) of a firm to see its benefits for the shareholders at the target firm as well as its acquirer. It used over thirty years of data to understand the impact of the activists’ demands of strategic significance for the firms....

Persistent link: https://www.econbiz.de/10014034757

Does the Chinese stock market react to global news?

Byström, Hans N. E. - In: Journal of the Asia Pacific economy 16 (2011) 3, pp. 448-455

Persistent link: https://www.econbiz.de/10009503032

CBOE volatility index (VIX) and corporate market leverage

Giang Thi Huong Vuong; Manh Huu Nguyen; Wong, Wing Keung - In: Cogent economics & finance 10 (2022) 1, pp. 1-22

Our paper investigates the nexus between the CBOE Volatility Index (VIX) and the market leverage of firms listed on the … approaches for the panel models firmly support our findings. In addition, our research suggests that the implied volatility index …

Persistent link: https://www.econbiz.de/10013393575

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10003965868

Financial analysis on Indian stock market volatility during recession

Arekar, Kirti; Jain, Rinku - In: Advances in management & applied economics 1 (2011) 3, pp. 127-133

parameters are used to capture the market performance such as daily return, Volatility of daily return, market capitalization and … or we can say there is no impact of recession for that particular sector. -- volatility ; stock market and return …

Persistent link: https://www.econbiz.de/10009569715

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Persistent link: https://www.econbiz.de/10010407524

The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows

Ederington, Louis H. - 2011

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

Persistent link: https://www.econbiz.de/10013128717