Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro [PDF]
, 2012 This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility ...
Antonakakis, Nikolaos
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THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA
Buletin Ekonomi Moneter dan Perbankan, 2017 Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of ...
Linda Karlina Sari +2 more
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MIX: Jurnal Ilmiah Manajemen, 2019 Penelitian ini bertujuan untuk melakukan pengujian pengaruh antara idiosyncratic volatility dengan expected return. Idiosyncratic volatility dihitung dengan pendekatan langsung (direct method), yaitu standar deviasi dari residual yang dihasilkan model ...
Muhammad Pudjianto, Buddi Wibowo
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Leverage Effect and the Role of Debt Ratio in Companies Listed on the Tehran Stock Exchange [PDF]
فصلنامه پژوهشهای اقتصادی ایرانThe negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure.
Teimur Mohammadi +2 more
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Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2016 The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased ...
Hossein Tavakolian +2 more
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The Effect of Earnings Quality Measures on Excess Stock Return [PDF]
مطالعات تجربی حسابداری مالی, 2015 The present study aims at investigating the influence of earnings quality measures on excess stock return and the capability of each one of those measures in explanation for this excess.
D. Forooghi +2 more
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Saudi Green Banks and Stock Return Volatility: GLE Algorithm and Neural Network Models
Economies, 2022 This study investigates the effects of ESG factors on stock return volatility from 2012 to 2020 using linear regression, GLE algorithm, and neural network models.
Hamzeh F. Assous
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Volatility and returns of the New Third Board market in China
Journal of Finance and Data Science, 2016 In this paper, we analyze the return–volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted.
Weiping Li, Gaoxiu Qiao
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Investigating the effect real options on stock return a panel: Var approach [PDF]
New Applied Studies in Management, Economics & AccountingIn this study, evidence is presented that shows the positive stock return-volatility relationship at the firm level is due to firm's real options. Therefore, the purpose of the study was to investigate the effect of real option on the relationship ...
Mostafa Heidari Haratemeh +1 more
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Risk-return-volume causality on the Croatian stock market
Ekonomski VjesnikPurpose: Causality between stock returns, volatility and traded volume for 10 most liquid stocks from Zagreb Stock Exchange (ZSE) is examined in this paper.
Jelena Vidović
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