The dynamic causality between Chinese and ASEAN stock markets [PDF]
Heliyon, 2023 COVID-19 has caused severe shocks to the Chinese and ASEAN stock markets. This paper investigates the relationship between the Chinese and ASEAN stock markets using the bootstrap rolling-window causality test.
Qingqiao Huang, Mulan Li, Bin Wang
doaj +2 more sources
Tail Risk Spillover Between Global Stock Markets Based on Effective Rényi Transfer Entropy and Wavelet Analysis [PDF]
EntropyTo examine the spillover of tail-risk information across global stock markets, we select nine major stock markets for the period spanning from June 2014 to May 2024 as the sample data. First, we employ effective Rényi transfer entropy to measure the tail-
Jingjing Jia
doaj +2 more sources
Information management systems in the systematization of indicators for assessing the effectiveness of investment processes in the securities market [PDF]
Journal of Information Technology Management, 2023 The purpose of this study is to study the indicators for evaluating the effectiveness of the implementation of investment processes on the securities market, taking into account the scientific foundations of information management systems and analysis of
Yuliia Kovalenko +5 more
doaj +1 more source
Stock Market and No‐Dividend Stocks [PDF]
The Journal of Finance, 2021 ABSTRACTWe develop a stationary model of the aggregate stock market featuring both dividend‐paying and no‐dividend stocks within a familiar, parsimonious consumption‐based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption‐based asset ...
Atmaz, A, Basak, S
openaire +1 more source
Financial Technology: China’s Stock Markets vs U.S. Stock Markets [PDF]
E3S Web of Conferences, 2021 This paper provides a detailed analysis of the difference between the Chinese stock market and the U.S. stock market under the development of financial technology. In conclusion, we find that the Chinese stock market is more dominated by retail investors,
Chang Ruiqian
doaj +1 more source
Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis [PDF]
Amfiteatru Economic, 2021 The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets.
Jan Sucháček +3 more
doaj +1 more source
Stock market cycles and stock market development in Spain [PDF]
Spanish Economic Review, 2004 In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK).
Javier Gómez Biscarri +1 more
openaire +2 more sources
AFRE (Accounting and Financial Review), 2022 The purpose of this paper was to analyze stock market return volatility spillover between in Sub-Sahara markets using Nigeria, Ghana and South Africa monthly data from January 2000 to December 2017.
Peter Ali
doaj +1 more source
Investigating the Hsiao’s Granger Causality among Returns of 11 World Stock Markets Indexes and Return of Tehran Stock Exchange Index [PDF]
تحقیقات مالی, 2014 In today’s world, markets are no longer under the limitations of a specific location and the importance of this issue is illustrated in effective decision making of economic agents, because the world financial markets are considered often valuable ...
Ali Asghar Anvary Rostamy +2 more
doaj +1 more source
Risk Aversion and Value at Risk in Macroeconomic Assets Portfolio: An Approach of Econophysics [PDF]
مجله توسعه و سرمایه, 2021 Objective: Due to the importance of studing the behavior of asset markets, the risk aversion term and its operational calculation has attracted many researchers. The present study intends to examine this issue by considering a portfolio with three assets
Hashem Zare +2 more
doaj +1 more source