Information bias and its spillover effect on return volatility : a study on stock markets in the Asia-Pacific region
Year of publication: |
2021
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Authors: | Panda, Ajaya Kumar ; Panda, Pradiptarathi ; Nanda, Swagatika ; Parad, Atul |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 69.2021, p. 1-21
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Subject: | Emerging countries stock markets | Leverage effect | MGARCH-BEKK | The Diebold and Yilmaz volatility spillover index | Volatility spillovers index | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Aktienmarkt | Stock market | Schwellenländer | Emerging economies | Asiatisch-pazifischer Raum | Asia-Pacific region | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
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