The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize dynamic interplay between stock market returns crude oil prices, with a particular focus on China, factoring in second-moment effect volatility spillover. Employing an EGARCH process model leverage impact returns’ volatility, analysis utilizes daily data sp...

In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test hypothesis that own shocks dominate volatility. We find strong evidence volatility explains between 64% 86% of their movements. These results do not change when include Chinese CNY currency in analysis. Moreover, explain 36%, 24% 23% movements Thail...

This paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed European firms. Using LaPorta et al.’s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the ...