[PDF][PDF] Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies
The purpose of this study is to provide insight into the lead-lag relationships between the
BRIC stock index and its constituents. In addition, we assess the comovements between the …
BRIC stock index and its constituents. In addition, we assess the comovements between the …
An index of cryptocurrency environmental attention (ICEA)
Purpose (1) A concern often expressed in relation to cryptocurrencies is the environmental
impact associated with increasing energy consumption and mining pollution. Controversy …
impact associated with increasing energy consumption and mining pollution. Controversy …
Oil shocks and BRIC markets: Evidence from extreme quantile approach
The present study aims to configure the extreme quantile dependence between oil shocks
and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram …
and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram …
Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model
This study examines the interaction between oil prices, exchange rate, and stock returns in
Pakistan by using quarterly data from January 2000 to December 2019. We extend the …
Pakistan by using quarterly data from January 2000 to December 2019. We extend the …
High frequency volatility co-movements in cryptocurrency markets
Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies
to intra-day data for eight cryptocurrencies, this paper investigates not only conditional …
to intra-day data for eight cryptocurrencies, this paper investigates not only conditional …
Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression
W You, Y Guo, H Zhu, Y Tang - Energy Economics, 2017 - Elsevier
This paper investigates the impact of crude oil shocks and China's economic policy
uncertainty on stock returns at different locations on the return distributions. Based on …
uncertainty on stock returns at different locations on the return distributions. Based on …
Geopolitical risks and stock market dynamics of the BRICS
This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in
the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of …
the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of …
Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations
This paper investigates the effects of oil price shocks and economic policy uncertainty on the
stock returns of oil and gas companies. We find that an oil demand-side shock has a positive …
stock returns of oil and gas companies. We find that an oil demand-side shock has a positive …
Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices
The emerging economy of India counts gold and oil amongst its top imports, suggesting that
the prices of these resources affect the domestic inflation and stock market. Expectations on …
the prices of these resources affect the domestic inflation and stock market. Expectations on …
Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach
M Kannadhasan, D Das - Finance Research Letters, 2020 - Elsevier
We compare and contrast the impact of Economic Policy Uncertainty (EPU) and Geopolitical
Risk (GPR) related shocks on the Asian emerging stock markets by resorting to the quantile …
Risk (GPR) related shocks on the Asian emerging stock markets by resorting to the quantile …