دورية أكاديمية
Impact of news-based equity market volatility on international stock markets
| العنوان: | Impact of news-based equity market volatility on international stock markets |
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| المؤلفون: | Abdullah Alqahtani, Michael J. Wither, Zhankui Dong, Kimberly R. Goodwin |
| المصدر: | Journal of Applied Economics, Vol 23, Iss 1, Pp 224-234 (2020) |
| بيانات النشر: | Taylor & Francis Group, 2020. |
| سنة النشر: | 2020 |
| المجموعة: | LCC:Economic growth, development, planning LCC:Economic history and conditions |
| مصطلحات موضوعية: | equity market volatility index, vector autoregressive, international investment, Economic growth, development, planning, HD72-88, Economic history and conditions, HC10-1085 |
| الوصف: | This study examines the long run impacts of equity market volatility on index returns of nine major international stock exchanges in the Western and Asian regions. This study employs the text-based Economic Market Volatility (EMV) index to measure the degree of uncertainty in the U.S. stock market. Using monthly data from December 2001 to August 2018, the estimation results derived using the standard and nonlinear ARDL models deliver several key messages. First, rising U.S. stock market volatility exhibits significant and negative impacts on stock market returns, except for the stock markets of China, Hong Kong, and India whose impacts are negative but insignificant. Second, the use of the nonlinear ARDL model does not show any signs of asymmetry in the relationship between stock market returns and changes in the EMV index, suggesting that the change in the EMV index has symmetric effects on the changes in major stock indices. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 1514-0326 1667-6726 15140326 |
| العلاقة: | https://doaj.org/toc/1514-0326Test; https://doaj.org/toc/1667-6726Test |
| DOI: | 10.1080/15140326.2020.1729571 |
| الوصول الحر: | https://doaj.org/article/7b1467b7d2154c1cb3cd05c4c142841bTest |
| رقم الانضمام: | edsdoj.7b1467b7d2154c1cb3cd05c4c142841b |
| قاعدة البيانات: | Directory of Open Access Journals |
| تدمد: | 15140326 16676726 |
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| DOI: | 10.1080/15140326.2020.1729571 |