Browsing by Subject "Stock market volatility"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Effects of daylight savings time changes on stock market volatility
    (Sage Publications, Inc., 2010) Berument, Hakan; Dogan, N.; Onar, Bahar
    The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.
  • Thumbnail Image
    ItemOpen Access
    Market reactions to COVID-19: does systemic risk vary across industries? a Markov-switching CAPM approach
    (Routledge, 2023-02-13) Bulut, Emre; Marangoz, C.; Daştan, M.
    Despite a broad consensus on the response of US stock market vola-tility to the coronavirus outbreak, our micro-level understanding of its variation across industries still needs to be improved. This study contributes to the existing literature by providing an industry-level analy-sis of the COVID-19 pandemic with two different states. Evidence from the MS-CAPM model indicates the role of portfolio diversification. Specifically, the results reveal that some industries, such as materials, real estate, communication, and utilities, have much higher expected returns. On the other hand, other sectors, including consumer discre-tionary, industrials, and information technology, become less volatile than the market during the lockdown period.