Similar Search Results

Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets

Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...

Persistent link: https://www.econbiz.de/10011474619

Oil prices and stock market returns among emerging seven economies : empirical evidence from the recent decade

Dar, Mearaj Ud Din; Butt, Khursheed Ahmad - In: International journal of business competition and … 8 (2022) 1/2, pp. 112-127

Persistent link: https://www.econbiz.de/10014234385

Inter-market mean and volatility spillover dynamics between cryptocurrencies and an emerging stock market : evidence from Thailand and sectoral analysis

Zhang, Yanjia; Lo, Shih-tse; Sutthiphisal, Dhanoos - In: Risks : open access journal 13 (2025) 4, pp. 1-29

The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility … investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 … sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant …

Persistent link: https://www.econbiz.de/10015408930

Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets

Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207

Persistent link: https://www.econbiz.de/10012271374

Foreign speculators and emerging equity markets

Bekaert, Geert; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 565-613

Persistent link: https://www.econbiz.de/10001497269

Foreign speculators and emerging equity markets

Bekaert, Geert; Harvey, Campbell R. - 1997

Persistent link: https://www.econbiz.de/10000983929

Risk-managed time-series momentum : an emerging economy experience

Simarjeet Singh; Walia, Nidhi; Bekiros, Stelios; Gupta, … - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach....

Persistent link: https://www.econbiz.de/10014339133

Foreign Speculators and Emerging Equity Markets

Bekaert, Geert - 1997

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …

Persistent link: https://www.econbiz.de/10012472501

Foreign Speculators and Emerging Equity Markets

Bekaert, Geert - 2008

reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …

Persistent link: https://www.econbiz.de/10012774923

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425