International stock market risk contagion during the COVID-19 pandemic
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DOI: 10.1016/j.frl.2021.102145
Abstract: Abstract This paper examines the risk contagion among international stock markets during the COVID-19 pandemic by using the realized volatility information from sixteen major stock markets in the world. The empirical evidence based on the… read more here.
Keywords: international stock; risk contagion; stock; stock markets ... See more keywords
Liquidity and short-run predictability: Evidence from international stock markets
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DOI: 10.1016/j.gfj.2021.100673
Abstract: Abstract This study investigates the determinants of short-run predictability in international stock markets, where predictability is defined as the accuracy of the best-combined daily forecasts. Contrary to popular belief, illiquid markets, characterized by high transaction… read more here.
Keywords: predictability; run predictability; short run; international stock ... See more keywords
Revisiting the valuable roles of commodities for international stock markets
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DOI: 10.1016/j.resourpol.2020.101603
Abstract: Abstract In this paper, we re-examine the safe haven, hedge, and diversification potentials of 21 commodities belonging to various commodity groups for 49 international stock markets belonging to countries in various stages of economic development.… read more here.
Keywords: revisiting valuable; international stock; stock markets; roles commodities ... See more keywords