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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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
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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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An Alternative Approach to Measure Co-Movement between Two Time Series
Mathematics, 2020 The study of the dependences between different assets is a classic topic in financial literature. To understand how the movements of one asset affect to others is critical for derivatives pricing, portfolio management, risk control, or trading strategies.
José Pedro Ramos-Requena +2 more
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Conditional co-movement and dynamic interactions: US and BRIC equity markets [PDF]
Ekonomski Anali, 2017 The present study attempts to capture conditional or time-varying co-movement and dynamic interactions between the US and BRIC (Brazil, Russia, India, and China) equity markets across the sample period 2004 to 2014 by employing diverse ...
Singh Amanjot, Singh Manjit
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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
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Volatility Co-Movement in Stock Markets
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
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Economies, 2023 This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China’s Tech index (XA90), and India’s Tech index (NSEIT) from 2017 to 2021 ...
Arief Rijanto
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Intra-Africa regional trade comovements and shock transmission: A baseline for AfCFTA
Cogent Economics & Finance, 2023 This paper examines the trade co-movements and shock spillover across four African geographic regions. Specifically, we were motivated by the very low intra-trade activities in Africa, despite increased regionalism to study the possibility of a country’s
Lord Mensah
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Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses [PDF]
Journal of Economics Finance and Administrative Science, 2020 Purpose – This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil,
Mourad Mroua, Lotfi Trabelsi
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