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Financial crises, stock returns and volatility in an emerging stock market: the case of Jordan
16 references·5 citing·42 second hopsampled
Financial crises, stock returns and volatility in an emerging stock market: the case of Jordan (2012)Financial crises, stock returns and volat…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)GARCH 101: The Use of ARCH/GA…Emerging Financial Markets (2000)Emerging Financial MarketsVolatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …Understanding Financial Crises: A Developing Country Perspective (1996)Understanding Financial Crise…Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market vola…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Returns and Volatility (1990)Stock Returns and VolatilityPersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Asymmetric Information and Financial Crises: A Historical Perspective (1990)Asymmetric Information and Fi…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Business Cycles, Financial Crises, and Stock Volatility (1989)Business Cycles, Financial Cr…Alternative Models For Conditional Stock Volatility (1989)Alternative Models For Condit…Volatility persistence and stock valuations: Some empirical evidence using garch (1988)Volatility persistence and st…Expected stock returns and volatility (1987)Expected stock returns and vo…COVID–19 impact on the shipping industry: An event study approach (2021)COVID–19 impact on the shippi…An examination of calendar anomalies: evidence from the Thai stock market (2021)An examination of calendar an…Market multiples and stock returns among emerging and developed financial markets (2020)Market multiples and stock re…Financial instability, integration and volatility of emerging South Asian stock markets (2017)Financial instability, integr…Corporate governance and social norms during financial crisis: evidence from France and Saudi Arabia (2017)Corporate governance and soci…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Hourly volatility spillovers between international equity markets (1994)The specification of conditional expectations (2001)The risk return tradeoff in the long run: 1836–2003 (2007)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Credit Rationing in Markets with Imperfect Information (1981)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Global Capital Market: Benefactor or Menace? (1998)The Onset of the East Asian Financial Crisis (1998)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)New frontiers for arch models (2002)Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,224 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1990Stock Returns and Volatility722 cited
  • 1996Understanding Financial Crises: A Developing Country Perspective695 cited
  • 1988Volatility persistence and stock valuations: Some empirical evidence using garch519 cited
  • 1997Stock returns and volatility in emerging financial markets465 cited
  • 1990Asymmetric Information and Financial Crises: A Historical Perspective426 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • 2000Emerging Financial Markets374 cited
  • 1989Business Cycles, Financial Crises, and Stock Volatility367 cited
  • 1989Alternative Models For Conditional Stock Volatility

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256 cited

Cited by

  • 2021COVID–19 impact on the shipping industry: An event study approach75 cited
  • 2020Market multiples and stock returns among emerging and developed financial markets34 cited
  • 2017Financial instability, integration and volatility of emerging South Asian stock markets24 cited
  • 2021An examination of calendar anomalies: evidence from the Thai stock market21 cited
  • 2017Corporate governance and social norms during financial crisis: evidence from France and Saudi Arabia16 cited