COVID-19 containment measures and stock market returns: An international spatial econometrics investigation
نویسندگان
چکیده
منابع مشابه
The Structure of International Stock Market Returns
The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical propert...
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متن کاملDoes Stock Market Volatility Forecast Returns: The International Evidence
We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...
متن کاملDoes Stock Market Volatility Forecast Returns: The International Evidence
We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...
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ژورنال
عنوان ژورنال: Journal of Behavioral and Experimental Finance
سال: 2021
ISSN: 2214-6350
DOI: 10.1016/j.jbef.2020.100428