Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis
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DOI: 10.1016/j.econlet.2014.12.021
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- Bentes, Sonia R., 2018. "Is stock market volatility asymmetric? A multi-period analysis for five countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 258-265.
- Shi, Yujie & Wang, Liming, 2023. "Comparing the impact of Chinese and U.S. economic policy uncertainty on the volatility of major global stock markets," Global Finance Journal, Elsevier, vol. 57(C).
- Gkillas, Konstantinos & Longin, François, 2018. "Financial market activity under capital controls: Lessons from extreme events," Economics Letters, Elsevier, vol. 171(C), pages 10-13.
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- Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
- Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
- Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Han, Liyan & Zheng, Qingqing & Li, Lei & Yin, Libo, 2015. "Do foreign institutional investors stabilize the capital market?," Economics Letters, Elsevier, vol. 136(C), pages 73-75.
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More about this item
Keywords
Liquidity; Asymmetric effect; Volatility; Stock market;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
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