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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

Volatility forecasting in the Hang Seng index using the GARCH approach

Liu, Wei; Morley, Bruce - In: Asia-Pacific financial markets 16 (2009) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10003855652

Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries

Chau, Frankie; Deesomsak, Rataporn; Wang, Jun - In: Journal of international financial markets, … 28 (2014), pp. 1-19

Persistent link: https://www.econbiz.de/10010411617

Daily Chinese Institutional Trading and Stock Price Volatility : Revisited

Chen, Zhijuan; Liu, Wei; Ma, Changfeng; Zhang, Shunming - 2022

Using the sample from January 1, 2014 to December 31, 2017 from SHSE, we find a non-negative relation between Chinese institutional net trading and stock price volatility, while Li and Wang (2010) show a significantly negative relation between July 1, 2002 to December 31, 2004, and hence...

Persistent link: https://www.econbiz.de/10013403273

Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014464307

Regimes and long memory in realized volatility

Goldman, Elena; Nam, Jouahn; Tsurumi, Hiroki; Jun, Wang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 521-549

Persistent link: https://www.econbiz.de/10010228559

Volatility analysis of financial agent-based market dynamics from stochastic contact system

Xiao, Di; Wang, Jun; Niu, Hongli - In: Computational economics 48 (2016) 4, pp. 607-625

Persistent link: https://www.econbiz.de/10011712544

Extreme risk and small investor behavior in developed markets

Switzer, Lorne N.; Wang, Jun; Lee, Seungho - In: The journal of asset management 18 (2017) 6, pp. 457-475

Persistent link: https://www.econbiz.de/10011844394

Dynamic interaction between economic policy uncertainty and financial stress : a multi-scale correlation framework

Sun, Xiaolei; Yao, Xiaoyang; Wang, Jun - In: Finance research letters 21 (2017), pp. 214-221

Persistent link: https://www.econbiz.de/10011807788

Dynamic spillover effect between oil prices and economic policy uncertainty in bric countries : a wavelet-based approach

Chen, Xiuwen; Sun, Xiaolei; Wang, Jun - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 12, pp. 2703-2717

Persistent link: https://www.econbiz.de/10012211021