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Commonality in BRICS stock markets' reaction to global economic policy uncertainty : evidence from a panel GARCH model with cross sectional dependence
Mamman, Suleiman O.; Wang, Zhanqin; Iliyasu, Jamilu - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473256
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Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model
Bouras, Christos; Christou, Christina; Gupta, Rangan; … - In: Emerging markets, finance and trade : EMFT 55 (2019) 8, pp. 1841-1856
Persistent link: https://www.econbiz.de/10012210912
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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The determinants of bank's stock volatility
Topaloğlu, Emre Esat; Sakur, Reşat; Yaman, Serdar - In: Evoluation of money, banking and financial crisis : …, (pp. 323-338). 2020
Persistent link: https://www.econbiz.de/10012802552
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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A contemporary enquiry into the intraday causality between short selling trades and volatility
Baklaci, Hasan F.; Süer, Ömür; Yelkenci, Tezer - In: The empirical economics letters : a monthly … 15 (2016) 1, pp. 83-90
Persistent link: https://www.econbiz.de/10011580304
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Estimating the leverage effect using panel data with a large number of stock issues over short-run focus on the Tokyo stock exchange
Kitazawa, Yoshitsugu - In: Journal of financial management and analysis : … 29 (2016) 2, pp. 43-50
Persistent link: https://www.econbiz.de/10011686827
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The effect of index option trading on stock market volatility in China : an empirical investigation
Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces …
Persistent link: https://www.econbiz.de/10013168752
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Volatility experience of major world stock markets
Mallikarjuna, M.; Rao, R. Prabhakara - In: Theoretical and applied economics : GAER review 26 (2019) 4/621, pp. 35-52
Persistent link: https://www.econbiz.de/10012431889