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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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Umar Butt and Trevor William Chamberlain
This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emerging...
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Jelena Radojicic,Ognjen Radovic
Pág. 053 - 069
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of retu...
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Jovica Stankovic, Ksenija Dencic-Mihajlov, Jelena Z. Stankovic, Evica Petrovic
Pág. 31 - 42
Research Question: This study examined the preconditions and efficiency of socially responsible investing (SRI) in the developing capital market, specifically the Belgrade Stock Exchange (BSE). Motivation: Considering the increasing trend of SRI (GSIA, 2...
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Yizheng Zhang, Liuhong Luo and Hongjun Li
Extracting k" role="presentation">??k
k
-order maximal-sum principal submatrix from an n" role="presentation">??n
n
-order real matrix is a typical combinatorial optimization problem and an NP-hard problem. To improve the computational efficiency of solv...
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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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Anh Thi Kim Nguyen, Loc Dong Truong and H. Swint Friday
This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily retur...
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Stephanos Papadamou, Alexandros Koulis, Constantinos Kyriakopoulos and Athanasios P. Fassas
This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., r...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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