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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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Kalu O. Emenike
AbstractThe direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this ...
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Serpil TURKYILMAZ,Mesut BALIBEY
Pág. 400 - 410
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptio...
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Monday Uhunmwangho
Pág. 94 - 100
Recent regulations are directed at mitigating financial market risk, because risks, especially volatility dampen investors? confidence, and hinder firms? ability to raise funds at the exchange. Though, volatility had been investigated in the past, the jo...
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Justin Morscheck
Pág. 21 - 37
Using intraday trading data during the 2008 financial crisis, from the Standard and Poor?s Depository Receipt (SPDR) market, we test for evidence of the informational advantage of traders. In addition, we examine the effect of pricing error on trade pric...
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Wilton Bernardino,Leonardo Brito,Raydonal Ospina,Silvio Melo
Pág. 573 - 610
In this paper, we have explored operational risk in Brazil by considering different sectoral indices of the Brazilian economy and the GACH Value-at-Risk (GARCH-VaR) estimation approach. We have carried a statistical evaluation of the eight Brazilian sect...
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Hudson Chaves Costa,João Henrique Gonçalves Mazzeu,Newton Carneiro Affonso da Costa Jr.
Pág. 225 - 268
The present paper evaluates by approach of Campbell et al. (2001) the evolution of the three volatility components of the Brazilian stocks in the period 1996 to 2010. It is identified that the idiosyncratic component of the volatility does not have the s...
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Faten Ben Slimane, Mohamed Mehanaoui and Irfan Akbar Kazi
The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavio...
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Fernando Caio Galdi,José Roberto Securato
Pág. pp. 41 - 58
This paper analyses the relationship between idiosyncratic risk and diversified portfolio returns on Brazil?s capital market. Following Goyal and Santa-Clara (2003) and Bali et alii (2005) we use volatility measures that capture systematic and idiosyncra...
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Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selec...
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Giulia Dal Maso
Pág. Finance an - 68
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Monday Uhunmwangho
Pág. 94 - 100
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Dimitrios Kartsonakis Mademlis,Nikolaos Dritsakis
Pág. 49 - 60
In several financial applications, it is extremely useful to predict volatility with the highest precision. Neural Networks alongside GARCH-type models have been extensively employed in the last decades for estimating volatility of financial indices. The...
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Namitha K. Cheriyan,Lazar Daniel
Pág. 17 - 22
The liquidity crunch arising out of volatile market conditions is a significant concern for investors across the globe. The trading activity in the market is an important attribute determining the liquidity as well as the volatility of any stock market. ...
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Leandro Maciel,Rosangela Ballini
Pág. 80 - 99
Stock exchange automation, characterized by the replacement of floor trading systems by electronic trading systems, is one of the main restructuring processes observed in global capital markets in recent decades. This paper investigates the effects of au...
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Caroline Michere Ndei, Stephen Muchina, Kennedy Waweru
Pág. 156 - 171
This study sought to model the stock market return volatility at the Nairobi Securities Exchange (NSE) in the presence of structural breaks. Using daily NSE 20 share index for the period 04/01/2010 to 29/12/2017, the market return volat...
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Rohnn Sanderson and Nancy L. Lumpkin-Sowers
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Naseem Al Rahahleh and Robert Kao
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Brian Sing Fan Chan, Andy Cheuk Hin Cheng and Alfred Ka Chun Ma
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Rohnn Sanderson and Nancy L. Lumpkin-Sowers
The buy and hold stock market strategy, which gained tremendous popularity in the 1970s, may no longer be such a profitable method for accumulating wealth for the average investor in the new millennium. This paper investigates the relationship between co...
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