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This paper investigates the impact of the COVID-19 pandemic on the volatility spillover and dependence structure among the major developed and emerging stock markets. The TVP-VAR connectedness decomposition approach and R-vine copula are implemented in this research. The results of the TVP-VAR...
Persistent link: https://www.econbiz.de/10014238153
This paper investigates the effects of corruption on equity price volatility using a sample of over 10,000 firm-level observations from 35 countries for 2003--2014. Utilizing approximately 16,000 responses from the World Bank Enterprise Survey, we construct experience-based annual corruption...
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