Global Stock Returns and Volatility
The Impacts of Inflation Dynamics and Global Financial Crises on Stock Market Returns and Volatility: Evidence from Nigeria
... its volatility on stock returns and stock returns ...Here, volatility of inflation is measured using the conditional variance from GARCH (1, 1) model instead of using mere ...
10
Global and Regional Volatility Spillovers to GCC Stock Markets
... and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab ...and global returns: BEKK, constant correlation and dynamic ...and global returns are ...
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Effect of Volatility Transmission on Domestic Stock Returns: Evidence from Nigeria
... the stock market since it reduces uncertainty about future cash flows, driving down stock market ...and Global financial crisis of 2008, Bloom (2009) argued that such negative news about the ...
31
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... of returns. The EI explains cross-section of stock returns significantly and have a positive relationship with ...idiosyncratic volatility and cross-section of stocks returns exist in ...
12
Time series analysis of interest rates volatility and stock returns in Ghana
... The data for this study comprises of monthly time series data for Ghana over the period 1995 - 2015. The sources of data include statistical bulletins published by the Bank of Ghana and the Ghana Stock Exchange. ...
23
Analysing correlation between the MSE index and global stock markets
... in volatility, with Koutmos and Booth (1995), amongst others, showing that markets have different reactions to positive and negative volatility ...for global and local ...in returns of ...
20
An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
... and global financial market. However, the stagnation of the stock market and the bad debt problems of the Japanese banks revealed that the financial reforms have not accomplished their desired ...
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The impact of short selling on stock returns and volatility: Evidence from the Dutch stock market
... and stock volatility is a problematic issue and receives limited attention in the academic ...price volatility when short selling constraints are ...lower stock prices and make them more ...a ...
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Oil Price Shocks and Volatility in Australian Stock Returns
... explaining stock returns in US stock ...on stock returns in Canada, Japan, UK and US, establish a link through changes in cash flows on stock prices in Canada and ...aggregate ...
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Stock market volatility using GARCH models: Evidence from South Africa and China stock markets
... daily returns. The results in Figure 1 show that the movement of stock returns is both positive and ...the returns fluctuate around the mean value, but close to ...with stock ...
12
Economic exposure, pricing of risk and various volatility dynamics of stock returns on an emerging stock market
... between stock market and economic growth of a ...on stock market efficiency (Brasoveanu et ...for global economic growth but such integration can expose the economies to crisis; specifically, if it ...
84
Global engagement and returns volatility
... between global engagement and returns volatility is a phenomenon that manifests itself primarily during economic downturns, which is when volatility tends to rise (see Bloom 2014 and Figure ...
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Modeling Sectoral Stock Indexes Volatility: Empirical Evidence from Pakistan Stock Exchange
... the stock prices volatility due to its dynamic performance has a vital importance in finance, in specific investment decision making and in ...the volatility of stock prices and their ...
6
Preholiday returns and volatility in the Thai stock market
... the Stock Exchange of ...the stock returns are abnormally high during the preholiday trading ...the returns for preholiday periods are statistically higher than non-preholiday ...above-average ...
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Does the Implied Volatility Index Have Signaling Power? Evidence from Mexico
... MEXBOL returns are erratic rather than falling as common sense predicts 12 ...MEXBOL returns tend to occur when the relative VIMEX is ...MEXBOL returns’ sharp drops hardly occur in the high relative ...
10
Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets
... the returns on the Taiwan Capitalization Weighted Stock Index (TAIEX) and NIKKEI Stock Average Index (NIKKEI) and explored the volatility spillover effect between the Taiwanese and Japanese ...
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Implementation of the Estimating Functions Approach in Asset Returns Volatility Forecasting Using First Order Asymmetric GARCH Models
... squared returns is an appropriate proxy for the unobserved volatility that fully accounts for the time varying ...squared returns have for long and widely been used as a proxy of the latent realized ...
9
Long Memory and Stock Market Efficiency: Case of Saudi Arabia
... Saudi Stock Exchange (Tadawul) has been implemented as the only stock exchange in Saudi ...Saudi Stock Market in relation to liberalization of the financial sector, information disclosure, listing ...
6
Volatility modeling and the nigerian stock return relationship in egarch –in –mean framework
... of returns and examined the nature of events that cause large shifts in stock return volatility in these ...the stock market volatility of the emerging ...of stock prices ...
10
Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange
... of stock market volatility is important to investors as well as for investment ...policy. Volatility is directly associated with risks and returns, higher the volatility the more ...
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