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Geopolitical risk and stock market volatility in emerging markets : a GARCH - MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Lasisi, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538937

Global economic policy uncertainty and stock volatility : evidence from emerging economies

Yu, Xiaoling; Huang, Yirong; Xiao, Kaitian - 2021

We investigate the impact of the global economic policy uncertainty (GEPU) on stock volatility for nine emerging …-MIDAS approach to connect low-frequency GEPU data and high-frequency stock data, assuming that GEPU affects stock volatility via the … long-run component of total volatility. We not only use DM and SPA tests to statically evaluate the out …

Persistent link: https://www.econbiz.de/10013174316

"Day of the week" and its effect on stock market volatility : evidence from an emerging market

Farooq, Omar; Bouaddi, Mohammed; Ahmed, Neveen - In: The journal of applied business research 29 (2013) 6, pp. 1727-1735

Persistent link: https://www.econbiz.de/10010229513

Stock price synchronicity and its effect on stock market volatility: evidence from the MENA region

Farooq, Omar; Ahmed, Neveen; Bouaddi, Mohammed - In: American journal of finance and accounting 5 (2018) 3, pp. 276-292

Persistent link: https://www.econbiz.de/10011966813

Stock market volatility and exchange rates in emerging countries : a Markov-state switching approach

Walid, Chkili; Chaker, Aloui; Masood, Omar; Fry, John - In: Emerging markets review 12 (2011) 3, pp. 272-292

Persistent link: https://www.econbiz.de/10009306830

Experience-based corporate corruption and stock market volatility : evidence from emerging markets

Lau, Chi Keung; Demir, Ender; Bilgin, Mehmet Huseyin - In: Emerging markets review 17 (2013), pp. 1-13

Persistent link: https://www.econbiz.de/10010243130

The relationship between financial liberalization and stock market volatility : the mediating role of financial crises

Rejeba, Aymen Ben; Boughrara, Adel - In: Journal of economic policy reform 17 (2014) 1, pp. 46-70

Persistent link: https://www.econbiz.de/10010358410

Volatility spillovers between crude oil price and stock markets : evidence from BRIC countries

Bagchi, Bhaskar - In: International journal of emerging markets 12 (2017) 2, pp. 352-365

Persistent link: https://www.econbiz.de/10011760774

Impact of terrorist attacks on stock market volatility in emerging markets

Mnasri, Ayman; Nechi, Salem - In: Emerging markets review 28 (2016), pp. 184-202

Persistent link: https://www.econbiz.de/10011670990

The “Cubic Law of the Stock Returns” in emerging markets

Gu, Zhiye; Ibragimov, Rustam Ju. - In: Journal of empirical finance 46 (2018), pp. 182-190

Persistent link: https://www.econbiz.de/10012103444