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

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

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

Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia-Ukraine war

Anyikwa, Izunna; Phiri, Andrew - In: Journal for studies in economics and econometrics : SEE 47 (2023) 2, pp. 144-168

Persistent link: https://www.econbiz.de/10014319326

Determinants of stock market comovements among US and emerging economies during the US financial crisis

Hwang, Eugene; Min, Hong-ghi; Kim, Bonghan; Kim, Hyeongwoo - In: Economic modelling 35 (2013), pp. 338-348

Persistent link: https://www.econbiz.de/10010259814

Dynamics of volatility spillover between stock market and foreign exchange market : evidence from Asian Countries

Jebran, Khalil; Iqbal, Amjad - In: Financial innovation : FIN 2 (2016) 3, pp. 1-20

Background: The purpose of this study is to examine volatility spillover effects between stock market and foreign … Regressive Conditional Heteroskedasticity) model for the purpose of analyzing asymmetric volatility spillover effects between … stock and foreign exchange market. Results: The EGARCH analyses reveal bidirectional asymmetric volatility spillover between …

Persistent link: https://www.econbiz.de/10011542472

Examining volatility spillover between Asian countries' stock markets

Jebran, Khalil; Iqbal, Amjad - In: China finance and economic review : CFER 4 (2016), pp. 1-13

Background: This study examined the volatility spillover effects between the stock markets of Asian countries, i … to 1 January 2014, consisting five trading days from Monday to Friday. The volatility spillover between stock markets was … show evidence of significant bidirectional spillover of return and volatility between China and Japan. The results also …

Persistent link: https://www.econbiz.de/10011499342

Returns, volatilities, and correlations across mature, regional, and frontier markets : evidence from South Asia

Amin, Abu S.; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 50 (2014) 3, pp. 5-27

Persistent link: https://www.econbiz.de/10010464049

Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2009

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

Persistent link: https://www.econbiz.de/10013155090

Volatility spillover around price limits in an emerging market

Aktas, Osman Ulas; Kryzanowski, Lawrence; Zhang, Jie - In: Finance research letters 39 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012805352

Correlations and volatility spillovers between China and Southeast Asian stock markets

Zhong, Yi; Liu, Jiapeng - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 57-69

Persistent link: https://www.econbiz.de/10012656194

Stock returns and asymmetric volatility spillover dynamics between Asian emerging markets

Habiba, Umme; Shen, Peilong; Hamid, Kashif; Shahzad, Farrukh - In: Global business review 22 (2021) 5, pp. 1131-1145

Persistent link: https://www.econbiz.de/10012660316