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Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38

Kong and Singapore have a clear direction of a return to other stock markets, whereas China has a clear net recipient. The …

Persistent link: https://www.econbiz.de/10014500629

How does investor sentiment affect stock market crash risk? : evidence from Asia-Pacific markets

An Tuan Nguyen; Nguyễn Thị Nhung - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

This study aims to examine the effect of investor sentiment on stock market crash risk in the Asia-Pacific region. The research employs principal components analysis (PCA) to construct an investor sentiment index, while the Method of Moments Quantile Regression (MMQR) is used to analyze monthly...

Persistent link: https://www.econbiz.de/10015193537

Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis

Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21

. The current study examines the co-movement of stock markets in BRICS (Brazil, Russia, India, China and South Africa … diversification and risk management perspectives, these results indicate that the market in China provided lucrative grounds for short …

Persistent link: https://www.econbiz.de/10013252768

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent economics & finance 11 (2023) 1, pp. 1-28

approach. The obtained results show strong evidence of a contagion effect between China and all countries except United States …

Persistent link: https://www.econbiz.de/10014500850

Does the U.S. extreme indicator matter in stock markets? : international evidence

Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

Persistent link: https://www.econbiz.de/10015361591

Volatility spillover effects of the US, European and Chinese financial markets in the context of the Russia-Ukraine conflict

Beraich, Mohamed; Amzile, Karim; Laamire, Jaouad; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-18

The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia-Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility...

Persistent link: https://www.econbiz.de/10013459985

Reassessment of structural changes in financial markets : the direct impact of central banks

Miró, Damià Rey; Piffaut, Pedro V.; Zurdo, Ricardo Palomo - In: Journal of central banking theory and practice 14 (2025) 1, pp. 21-42

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

Persistent link: https://www.econbiz.de/10015375716

Analysis of financial contagion in influential African stock markets

Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9

Drawing from the experience of the global financial crisis that sprang forth from the US stock market, an empirical assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African, Nigeria, Egypt, Kenya, Tunisia) is presented. Monthly...

Persistent link: https://www.econbiz.de/10012493750

Stock pledged loans and market crash risk : evidence from China

Li, Feng; Qian, Jun; Wang, Haofei; Zhu, Julie Lei - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26

Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder …

Persistent link: https://www.econbiz.de/10014514168

The impact of investor structure on stock price crash sensitivity : evidence from China's stock market

Pan, Ningning; Xu, Qiuhua; Zhu, Hongquan - In: Journal of management science and engineering 6 (2021) 3, pp. 312-323

sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of … in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively … sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of …

Persistent link: https://www.econbiz.de/10013206322