Quantifying Time-Frequency Co-movement Impact of COVID-19 on U.S. and China Stock Market Toward Investor Sentiment Index [PDF]
Frontiers in Public Health, 2021 The worldwide spread of COVID-19 dramatically influences the world economic landscape. In this paper, we have quantitatively investigated the time-frequency co-movement impact of COVID-19 on U.S.
Rui Nian +6 more
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Volatility Co-Movement in Stock Markets [PDF]
Mathematics, 2021 The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of ...
María Nieves López-García +4 more
doaj +3 more sources
Analysing the dynamic co-movement between tourism and expected economic growth considering extreme events [PDF]
Tourism Economics, 2022 Jianxu Liu +4 more
europepmc +3 more sources
Co-movement and Granger causality between Bitcoin and M2, inflation and economic policy uncertainty: evidence from the U.K. and Japan. [PDF]
Heliyon, 2022 Sarker PK, Wang L.
europepmc +3 more sources
Impact of COVID-19 transmission rate on co-movement of China’s stock markets [PDF]
Frontiers in Applied Mathematics and StatisticsIntroductionThis paper explored the impact of COVID-19 transmission rate on co-movement of China’s stock markets.MethodsBy employing the rolling time series model to measure the COVID-19 transmission rate and DCC-GARCH model to analyze co-movement of ...
Hongfei Xiao +4 more
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Co-movement of Australian State Business Cycles [PDF]
Australian Economic Papers, 2004 We use a variety of techniques to examine the nature and degree of co‐movement among Australian state business cycles. Consistent with the results of Dixon and Shepherd (2001), we find that these cycles move quite closely together, with particularly strong links between the cycles of the larger states.
Thomas D. Walker, David Norman
openalex +3 more sources
Did Brexit change asset co-movements? [PDF]
Journal of Financial Economic Policy, 2021 Purpose This paper aims to examine the impact of the Brexit referendum on the risk structure of financial asset prices. Co-movements are analysed using daily price returns of major stock and bond indices as well as commodities and exchange rates from June 2014 to June 2018.
Shrabani Saha +3 more
openaire +1 more source
Network Structures for Asset Return Co-Movement: Evidence From the Chinese Stock Market
Frontiers in Physics, 2022 This article focuses on the detailed network structure of the co-movement for asset returns. Based on the Chinese sector indices and Fama-French five factors, we conducted return decomposition and constructed a minimum spanning tree (MST) in terms of the
Huai-Long Shi, Huayi Chen
doaj +1 more source
Spatial Patterns in the Extreme Dependence of Ozone Pollution between Cities in China’s BTH Region
Atmosphere, 2023 Ozone pollution in China has become increasingly severe in recent years. Considering the damage that extreme ozone pollution may cause and the fact that the occurrence of extreme ozone pollution among different locations may be related, this paper uses ...
Lu Deng, Siqi Sheng
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Hedging Extreme Co-Movements [PDF]
SSRN Electronic Journal, 2002 11 pages including 3 ...
Y. Malevergne, D. Sornette
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