Similar Search Results

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Persistent link: https://www.econbiz.de/10014501248

Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries

Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26

The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ...

Persistent link: https://www.econbiz.de/10012418406

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478

Oil prices, labour market adjustment and dynamic quantile connectedness analysis : evidence from Greece during the crisis

Palaios, Panagiotis; Papapetrou, Evangelia - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-21

price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz … quantile VAR to capture the volatility spillovers across the whole conditional distribution shows a large variation of the …

Persistent link: https://www.econbiz.de/10013492985

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Firm age and crude oil returns : stock price sensitivity of oil-producing and consuming companies

Nishi, Hirofumi - In: Cogent economics & finance 8 (2020) 1, pp. 1-21

This study aims to identify firm characteristics that affect the cross-firm variation in oil-stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm...

Persistent link: https://www.econbiz.de/10013179571

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Volatility spillover between stock returns and oil prices during the Covid-19 pandemic in ASEAN

Alexandri, Mohammad Benny; Supriyanto - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 126-133

Persistent link: https://www.econbiz.de/10013169343

Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries

Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

Persistent link: https://www.econbiz.de/10013464376

Volatility spillover and dynamic correlation between the carbon market and energy markets

Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover …

Persistent link: https://www.econbiz.de/10012175985