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Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia
This research explores the function of information shocks in equity returns and integrated volatility of emerging Asian markets using Swap Variance (SwV) approach on the period of 20 years (Feb 2001–Feb 2020). It compares average monthly returns and volatility of shock periods with non-shock periods...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9838341/ https://www.ncbi.nlm.nih.gov/pubmed/36684690 http://dx.doi.org/10.1007/s43546-022-00417-w |