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Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

Stock market return predictability : Google pessimistic sentiments versus fear gauge

Habibah, Ume; Rajput, Suresh Kumar Oad; Sadhwani, Ranjeeta - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

Persistent link: https://www.econbiz.de/10011886968

Are there bubbles in sectoral indices? : evidence from national stock exchange

Suresh G.; R., Naveen Kumara; Natchimuthu, Natchimuthu - In: Cogent economics & finance 10 (2022) 1, pp. 1-12

Trading at prices above their fundamental values has been referred to as stock market Bubbles. These Bubbles, when … Busted, can lead to a market Crash. From experience, it is a well-known fact that Bubbles initially occur in one particular … the existence of bubbles in Indian Sectoral Indices. Previous studies have proven that sectoral indices do not mimic the …

Persistent link: https://www.econbiz.de/10014500376

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

Persistent link: https://www.econbiz.de/10011487829

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

Persistent link: https://www.econbiz.de/10012219567

Riding a wave : the Company's role in the South Sea Bubble

Kleer, Richard A. - In: The economic history review : a journal of economic and … 68 (2015) 1, pp. 264-285

Persistent link: https://www.econbiz.de/10011344702

Analysing the macroeconomic drivers of stock market development in the Philippines

Ho, Sin-yu; Odhiambo, Nicholas M. - In: Cogent economics & finance 6 (2018) 1, pp. 1-18

This paper analyses the macroeconomic drivers of stock market development in the Philippines during the period 2001Q4–2016Q4. In particular, the paper examines the impact of banking sector development, inflation rate, exchange rate, economic growth, trade openness and stock market liquidity on...

Persistent link: https://www.econbiz.de/10011904250

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

Persistent link: https://www.econbiz.de/10010490457

Calendar anomalies in African stock markets

Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

Persistent link: https://www.econbiz.de/10013184417

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