Our study distinguishes itself from the prior studies within the oil and financial literature by not only examining the asymmetric effects of oil prices on stock returns, but also exploring the importance of structure changes in this dependency relationship. We retrieve daily data on S&P 500 and...

We develop a two-step methodology to facilitate an examination of the impact of oil shocks on stock returns. Oil price volatility is monitored in this study through the use of a regime-switching model, with the presence of jumps subsequently being taken into consideration to examine the...

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...

This paper analyzes the volatility spillovers and asymmetry between REITs and stock prices for nine countries (Australia, Belgium, Germany, Italy, Japan, The Netherlands, Singapore, the United Kingdom, and the United States) using eight different multivariate GARCH models. We also analyze the...

This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample...

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...

Abstract This study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices. We adopt a Component-ARJI model with structural break analysis, utilizing daily data on West...