The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility
Discrete Dynamics in Nature and Society, 2020 Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market.
Gang He, Shuzhen Zhu, Haifeng Gu
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Eficiencia del mercado accionario chileno: un enfoque dinámico usando tests de volatilidad [PDF]
Lecturas de Economía, 2009 This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing.
Cristián Pinto, Andrés Acuña
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EXCHANGE RATE VOLATILITY AND STOCK MARKET DEVELOPMENT: AN EMPIRICAL EVIDENCE FROM NIGERIA
Malete Journal of Accounting and Finance, 2023 Recent evidence suggests that stock markets experience shift in volatility which can affect development of such markets. This study re-examines exchange rate volatility and stock market development in Nigeria using annual data from 1985-2020.
Ahmed Oluwatobi ADEKUNLE
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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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Volatility dynamics of stock returns, liquidity and exchange rates in ASEAN Countries [PDF]
AccountingIn this study, we examined the volatility trend of stock return in eight ASEAN stock markets. These includes the Singapore Exchange (SGX), Bursa Malaysia Stock Exchange (YSX), the Stock Exchange of Thailand (SET), Indonesia stock exchange, the Vietnam ...
David Umoru +3 more
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East Asian Economic Review, 2015 The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan.
Taly I
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Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach
Complexity, 2021 Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic
Xinyu Wu, Tianyu Liu, Haibin Xie
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Assessing the Influence of Investor Sentiment on the Performance of the Stock Prices: Analyzing Stock Returns and Volatility During the COVID-19 Pandemic and Periods of Market Fluctuations [PDF]
MSA-Management Sciences JournalThe primary objective of this study is to examine how investor sentiment affects stock market performance, with a particular focus on two indicators: stock returns and stock market volatility. The analysis takes into account the impact of the coronavirus
Sarah Hassan
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Cross-correlation asymmetries and causal relationships between stock and market risk. [PDF]
PLoS ONE, 2014 We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-
Stanislav S Borysov +1 more
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Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models
Economies, 2022 The stock market is constantly shifting and full of unknowns. In India in 2000, technological advancements led to significant growth in the Indian stock market, introducing online share trading via the internet and computers.
Vanshu Mahajan +2 more
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