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Bachar FAKHRY
Pág. 227 - 256
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Suthasinee Suwannapak and Surachai Chancharat
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interl...
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Farah Amira FIRDAUSIA,Nasrudin NASRUDIN
Pág. 89 - 113
This study examines the volatility spillover effects among stock, gold, and cryptocurrency returns during the peak of the COVID-19 pandemic and the transition to the endemic phase. The objective is to identify and model the volatility of these three inve...
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