) and stock market log prices and returns in the case of Japan over the period from January 2009 to February 2024 using … the former variable exhibits short-memory, I(0) behaviour. By contrast, stock market prices appear to be an I … seismic events as exogenous in the context of a regression model with stock returns. The findings suggest that earthquakes …

corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis. Unlike the worldwide practice of trading … effects between TASE's stock and corporate bond markets. Design/methodology/approach We employ an exponential general … autoregressive conditional heteroskedastic (EGARCH)(1,1) model to assess the impact of stock market fear, measured by implied …