Results 121 to 130 of about 35,694 (306)
Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US [PDF]
This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the
Angelos Kanas +2 more
core
Climate Change Laws and European Stock Markets: An Event Analysis
International Journal of Finance &Economics, EarlyView.ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as ...
Theodoros Bratis +2 more
wiley +1 more source
Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic. [PDF]
Financ Res Lett, 2022 Wang D, Li P, Huang L.
europepmc +1 more source
Stock Market Integration between three CEECs, Russia and the UK [PDF]
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia.
Guglielmo Maria Caporale +1 more
core
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
HeliyonIn times of crisis, stock markets experience a significant increase in return volatility, which leads to spillovers across equity sectors. The purpose of this study is to investigate the asymmetric spillovers across ten U.S.
Umar Kayani +4 more
doaj +1 more source
Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. [PDF]
Resour Policy, 2021 Elgammal MM, Ahmed WMA, Alshami A.
europepmc +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
wiley +1 more source
Valuing Volatility Spillovers [PDF]
forecasting, adcc, volatility spillovers ...
George Milunovich, Susan Thorp
core
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source