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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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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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Mudita Gunawan,Achmad Herlanto Anggono
Pág. 121 - 138
Safe-haven assets conserve their value or grow against another asset or portfolioduring market turmoil. Indonesian stock market, represented by the Jakarta composite index (JKSE), plunged in price because of COVID-19, pushing investors to look for&n...
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Mariem Talbi,Amel Ben Halima
Pág. 163 - 174
This paper contributes to a growing body of literature studying investor sentiment. Sentiment measures for USA investors are constructed from commonly cited sentiment indicators using the first principle component method. We then examine if the investor ...
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Jia Liao, Yu Shi and Xiangyun Xu
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ?very weak correlation?negative correlation?enhanced negative correlation?weakening ne...
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Ke Chen and Meng Wang
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments o...
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Amir Saadaoui,Younes Boujelbene
Pág. 41 - 49
In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the tran...
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Loujaina El Sayed, Nourhan Hegazi
Despite originating in the U.S., the repercussions of the 2008 global financial crisis were spread all over the globe to affect all classes of economies, suggesting the presence of a global contagious effect.MENA countries, which have recently become mor...
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Zouheir Mighri,Faysal Mansouri
Pág. 637 - 661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and ...
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Kaijian He, Kin Keung Lai and Guocheng Xiang
In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical m...
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