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The spectre of terrorism and the stock market
Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022
returns and increased volatility on the UK stock market. …
Persistent link: https://www.econbiz.de/10013428887
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Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10010354157
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Tracing the genesis of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...
Persistent link: https://www.econbiz.de/10012120201
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Coordination of circuit breakers? : volume migration and volatility spillover in fagmented markets
Clapham, Benjamin; Gomber, Peter; Panz, Sven - 2018
breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse … and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue … decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show …
Persistent link: https://www.econbiz.de/10011790734
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Dynamic interdependence and volatility transmission from the American to the Brazilian stock market
Monte, Edson Zambon; Defanti, Lucas Barbosa - 2021
The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American … political, regardless of the international scenario ("critical events"), affected the volatility of the Brazilian stock market …
Persistent link: https://www.econbiz.de/10012661256
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074