This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

This paper extends the gravity model to financial markets by examining how distance and bilateral linkages influence stock market correlations between the United States and selected emerging economies. To this end, the Poisson Pseudo Maximum Likelihood (PPML) estimator is used to account for...

This study examines how effective the Dogs of the Dow (DoD) investment strategy, popular in the USA, was for the Polish blue-chip stock market between 2002-2023. This strategy involves investing the same amount of funds each year in shares of ten companies called Dogs of Dow with the highest...

This study explores how the volatility spillover mechanism and dynamic dependence among the founding BRICS equity markets, namely IBOVESPA, MICEX, Nifty 50, SSE, and JSE, have evolved over time using a multivariate DCC-GARCH model. The analysis is conducted across three distinct regimes: the...

In emerging markets, stock markets play a crucial role in supporting long-term growth. This study explores the causal relationship between stock market development and economic growth in the Fragile Five countries-Brazil, India, Indonesia, South Africa, and Turkey-covering the period from 2001...

This paper investigates the nonlinear and state-dependent relationship between inflation surprises and real equity returns across G7 economies. Using monthly data from January 1998 to May 2025, we employ nonlinear local projection models to estimate the dynamic responses of the equity market to...

Stock price forecasting remains challenging due to the non-linear, noisy, and non-stationary nature of financial time series. Although LSTMs and Transformer-based models have improved sequential modeling, their ability to scale efficiently to long financial sequences remains limited. Recently,...

Prediction of stock closing price plays a critical role in financial planning, risk management, and informed investment decision-making. In this study, we propose a novel model that synergistically amalgamates Bidirectional GRU (BiGRU) with three complementary attention techniques-Top-k Sparse,...

This study examines the asymmetric responses of stock market indices in Türkiye and Kazakhstan to oil price shocks during the 2010-2025 period. Using the Nonlinear Autoregressive Distributed Lag (NARDL) model, the study decomposes the nonlinear effects of oil price fluctuations on financial...

Despite rising stock markets in the United States and Europe from 2017 to 2024, we document that average daily stock market performance becomes negative when weighted by the amount of media coverage. We propose an explanation for this media negativity bias that does not rely on a bad-news bias...

This paper revisits the "too much finance" hypothesis by reassessing the relationship between financial depth and economic growth using an expanded dataset (1960-2019) and a systematic estimation strategy that avoids reliance on any single, potentially arbitrary sample window. We estimate both...

This study applies the Log-Periodic Power-Law (LPPL) framework to three major equity markets-Mexico (IPC), Brazil (IBOVESPA), and the United States (NYSE Composite)-using daily closes from 8 November 1991-30 January 2025 for IPC and NYSE, and 3 May 1993-30 January 2025 for IBOVESPA. Multi-window...

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

This paper investigates persistence in the MINT (Mexico, Indonesia, Nigeria, Turkey) stock markets applying fractional integration methods to daily data from 1 January 2022 to 31 October 2025. Different model specifications are estimated for prices, log prices and log returns under the...

Purpose - This study aims to forecast the stock market behavior of BRICS nations (Brazil, Russia, India, China and South Africa) using advanced machine learning models. The focus is on identifying market trends, predicting future index prices and analyzing returns. Design/methodology/approach -...

This study analyzes inter-industry reversal, or whether loser or underperforming industries yield higher returns than winner or outperforming industries in Latin America. The phenomenon is likewise examined in market segments that are more prone to inefficiencies and short-selling barriers. It...

The shift from information retrieval (keyword-based search engines) to information synthesis (generative AI) constitutes a fundamental change in how people inform themselves online. We investigate how this shift impacts investment behavior using an incentivized online experiment (N = 374), in...

This study quantifies Lithuania's Equity Risk Premium (ERP) by integrating Damodaran's country-risk premium (CRP) framework with a multiple regression on key market drivers. By using quarterly data from Q1 2015 to Q4 2024, the CRP model yields an implied cost of equity of 9.84%, corresponding to...

This paper examines how shifts in investor demand influence firm financing and investment decisions. For identification, the paper exploits a large-scale MSCI methodo logical reform that mechanically redefined the stock weights in major international equity benchmark indexes, changing the...

This study revisits the Efficient Markets Hypothesis by employing a GRU-D neural network to predict stock return distributions across global equity markets, accounting for missing and irregular data. It examines whether stock returns exhibit statistically significant departures from purely...

In this study, we employ the panel smooth transition (PSTR) model to establish a nonlinear framework for examining the relationship between international oil prices and stock returns in China. We specifically investigate how economic policy uncertainty (EPU) acts as a threshold-driven moderator...

This study introduces a novel intraday volume-based uncertainty (IVU) proxy-the ratio of opening-half-hour volume to total volume of the preceding seven intervals-to predict final half-hour return direction in the Chinese stock market. Using threshold regression, we identify a statistically...

This paper investigates the relationship between institutional ownership and firm-level idiosyncratic volatility across European equity markets, with a particular focus on the moderating role of dividend policy. Using a sample of STOXX Europe 600 constituents from 2005 to 2025, we estimate...

Regional financial integration in East Africa remains shallow, yet contagion risks persist due to market fragility and illiquidity. Using daily data from 2014 to 2025 from the Nairobi Securities Exchange (NSE), Dar es Salaam Stock Exchange (DSE), Rwanda Stock Exchange (RSE), and Uganda...

This study examined the 'too central to fail' concept in the South African equity sector. We employed the Granger causality framework and PageRank algorithm to generate the centrality scores of the sectors on the Johannesburg Stock Exchange under extreme market conditions. Using the realized...

This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both...

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

We examine how Western sanctions imposed in response to Russia's 2022 invasion of Ukraine shaped firm-level stock market performance in the EU and the US. To measure sanction exposure, we link firms to the specific products targeted by US and EU sanctions at the HS6 level, producing a detailed,...

Exogenous shocks can affect equity markets by changing volatility and cross-market co-movement. This study examines how two U.S.-centred events, treated as different shock types, influence time-varying conditional correlations between the U.S. stock market and other G7 markets. The uncertainty...

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...