[HTML][HTML] Volatility impacts on the European banking sector: GFC and COVID-19
This paper analyses the volatility transmission between European Global Systemically
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional …
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional …
Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets
B Ahmed - The Journal of Economic Asymmetries, 2020 - Elsevier
Applying both survey-based and market-based measures, we examined how investor
sentiment affects the way with which prices reflect information and whether or not it …
sentiment affects the way with which prices reflect information and whether or not it …
[HTML][HTML] The impact of Twitter-based sentiment on US sectoral returns
This paper scrutinizes the effect of Twitter-based sentiment on US sectoral returns using
data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a …
data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a …
Modelling volatility transmission in regional Asian stock markets
T Azimova - The Journal of Economic Asymmetries, 2022 - Elsevier
In this paper, we investigate the mechanism of volatility transmission in five regional equity
markets in Hong Kong, South Korea, Malaysia, Singapore, and Thailand using the …
markets in Hong Kong, South Korea, Malaysia, Singapore, and Thailand using the …
Asymmetric tail dependence between stock market returns and implied volatility
K Echaust - The Journal of Economic Asymmetries, 2021 - Elsevier
The main objective of this paper is to analyze tail dependence between returns and changes
in implied volatility. We verify the asymmetry in dependence of positive and negative …
in implied volatility. We verify the asymmetry in dependence of positive and negative …
Testing for monotonicity, linearity and symmetry between trading volume and price returns in the futures markets of agricultural commodities: a discussion on the …
D Panagiotou, K Karamanis - Studies in Economics and Finance, 2023 - emerald.com
Purpose The aim of this study is to investigate for monotonicity, linearity and symmetry for
the price volatility–trading volume relationship in the futures markets of agricultural …
the price volatility–trading volume relationship in the futures markets of agricultural …
Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implications
D Panagiotou, F Naka - Studies in Economics and Finance, 2024 - emerald.com
Purpose The purpose of this paper is to investigate for symmetries–in sign and size–
between spot and futures prices in the markets of energy commodities. Design/methodology …
between spot and futures prices in the markets of energy commodities. Design/methodology …
Forecasting downside and upside realized volatility: The role of asymmetric information
D Maki - The Journal of Economic Asymmetries, 2024 - Elsevier
This study examines which asymmetric variables lead to the better forecast performance of
downside and upside risks. The models used in this study measure downside and upside …
downside and upside risks. The models used in this study measure downside and upside …
[PDF][PDF] Designing a model to explain the impact of investors' emotions on financial decisions, stock returns and economic volatility
M Mohamadi, M Azimi Yancheshme… - Financial Management …, 2022 - jfmp.sbu.ac.ir
† The change in stock price is not only affected by the intrinsic value provided by accounting
information, but also by the behavior of investors, which is referred to as investor sentiment …
information, but also by the behavior of investors, which is referred to as investor sentiment …
The Impact of COVID-19 Pandemic on the Relationship between India's Volatility Index and Nifty 50 Returns
J Chittineni - Indian Journal of Finance and Banking, 2020 - cribfb.com
The paper intends to re-examine the relationship between India's Implied Volatility Index
(IVIX) and Nifty 50 Returns during this COVID-19 pandemic. The study results are important …
(IVIX) and Nifty 50 Returns during this COVID-19 pandemic. The study results are important …