... nations. The Markov-switching GARCH model is used to analyze volatility clustering in order to determine whether the SAARC countries are experiencing a financial crisis based on the Nominal Exchange Rate indicator. Findings The results indicate that an MSGARCH(1,1,1) model is suitable for Bangladesh...

...Klaus Grobys; Davide Sandretto Purpose This study investigates the impact of transitioning from the proof-of-work (PoW) to the proof-of-stake (PoS) consensus protocol on the relationship between cryptocurrency volatility and energy shocks. Design/methodology/approach We exploit the random...

... perspectives for investors, policymakers and researchers on the interactions of these variables within one of the largest emerging financial markets globally. Design/methodology/approach A comprehensive collection of daily stock prices, trading volumes and volatility indices from April 2013 to March 2023...

... the first year of IPO listing from March 2021 to March 2022 is analysed. Design/methodology/approach The paper deals with the new generation start-ups' stock performance in emerging market in terms of total and abnormal return generated in comparison to the market (NIFTY-200). Further, the volatility...

... employ the multivariate factor stochastic volatility (mvFSV) framework to extract the volatility of the different sectoral indices. Based on this evidence, the authors employ the quantile vector autoregressive (QVAR) approach to examine the dynamic spillover connectedness among the aforementioned indices...

...Vanita Tripathi; Aakanksha Sethi Purpose The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency. Further, we investigate how the difference in market timings affect...

...Mwangele Kaluba; Yudhvir Seetharam Purpose While the momentum anomaly is prevalent in South Africa, few have examined the reasons influencing it. This study examines whether momentum profits vary through time and are affected by the state of the market and market volatility between 1998 and 2019...

...Chokri Zehri Purpose By reinforcing monetary policy independence, reducing international financing pressures and avoiding high-risk takings, capital controls strengthen the stability of the financial system and then reduce the volatility of capital inflows. The objective of this study...

... as well as their degree of integration. Design/methodology/approach Daily time series data were used for stock returns, volatility, volume and the number of transactions and securities between August 16, 2007 and December 28, 2018. A DCC-MGARCH model was applied to analyze the impact of MILA on stock...

... to pay more attention to price changes of crude oil for portfolio diversification when investing in crude oil markets. Unfortunately, volatile crude oil price is likely to result in unexpected enormous losses, especially in extreme price occurrence. Technology Project of CDUT 2018KJC0354...

... for both markets in the second stage after July 1, 1999. Originality/value – This paper extends the existing related researches about the Chinese stock markets in several ways. First, this study uses a longer sample to investigate the relationship between stock returns and volatility. Second...

...Madhuri Malhotra; M. Thenmozhi; G. Arun Kumar Purpose The purpose of this paper is to examine the short‐term and long‐term stock price volatility changes around bonus and rights issue announcements, using historical volatility estimation and time varying volatility approach. Design/methodology...

...Wafa Snoussi; Mhamed‐Ali El‐Aroui Purpose The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation methods of the Value‐at‐Risk...