This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...

Through the lens of the stock market, we examine whether and how the cloud economy affects China's economy. We review the literature on cloud computing and related concepts and propose a definition of the cloud economy. Based on this new definition, we create a China Cloud Economy Index (CCEI)...

The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known as blue-chip companies. To reach out the predefined objectives of the research, Auto...

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model,...

In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and bank loans of all publicly listed firms on the...

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic field and the real financial industry. With the proposal of China's "dual carbon" target, green stocks have gradually become an essential branch of Chinese stock markets. Focusing...