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Stock volatility in the new millennium: how wacky is Nasdaq?

Citations

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Cited by:

  1. Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
  2. Chollete, Lorán & Heinen, Andreas, 2006. "Frequent Turbulence? A Dynamic Copula Approach," Discussion Papers 2006/10, Norwegian School of Economics, Department of Business and Management Science.
  3. Michelle Lowry & Micah S. Officer & G. William Schwert, 2010. "The Variability of IPO Initial Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 425-465, April.
  4. Casalin, Fabrizio & Dia, Enzo, 2009. "Financial market volatility and primary placements," Economics Letters, Elsevier, vol. 105(3), pages 284-286, December.
  5. Liu, Lian & Nemoto, Naoko & Lu, Changrong, 2023. "The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 702-712.
  6. Brown, William Jr. & Burdekin, Richard C.K. & Weidenmier, Marc D., 2006. "Volatility in an era of reduced uncertainty: Lessons from Pax Britannica," Journal of Financial Economics, Elsevier, vol. 79(3), pages 693-707, March.
  7. Huang, Chia-Wei & Ho, Po-Hsin & Lin, Chih-Yung & Yen, Ju-Fang, 2014. "Firm age, idiosyncratic risk, and long-run SEO underperformance," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 246-266.
  8. Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
  9. Ryan Lemand, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, University Library of Munich, Germany, revised 07 Dec 2020.
  10. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  11. Stelios Bekiros & Dimitris Georgoutsos, 2008. "Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 397-408.
  12. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  13. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  14. Pastor, Lubos & Veronesi, Pietro, 2006. "Was there a Nasdaq bubble in the late 1990s?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 61-100, July.
  15. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
  16. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  17. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
  18. Lansing, Kevin J., 2012. "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 461-483.
  19. Wang, Steven Shuye & Jiang, Li, 2004. "Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1273-1297, June.
  20. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
  21. Jaroslav Bukovina, 2015. "The Impact of Economic Agents Perceptions on Stock Price Volatility," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1229-1234.
  22. Anup Srivastava & Senyo Y. Tse, 2016. "Why Are Successive Cohorts of Listed Firms Persistently Riskier?," European Financial Management, European Financial Management Association, vol. 22(5), pages 957-1000, November.
  23. Ryan Lemand, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, University Library of Munich, Germany, revised 07 Dec 2020.
  24. Gurdip Bakshi & Liuren Wu, 2010. "The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period," Management Science, INFORMS, vol. 56(12), pages 2251-2264, December.
  25. G. William Schwert, 2011. "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, vol. 17(5), pages 789-805, November.
  26. Bruce Mizrach, 2008. "The next tick on Nasdaq," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 19-40.
  27. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  28. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  29. Timothy J. Quigley & Craig Crossland & Robert J. Campbell, 2017. "Shareholder perceptions of the changing impact of CEOs: Market reactions to unexpected CEO deaths, 1950–2009," Strategic Management Journal, Wiley Blackwell, vol. 38(4), pages 939-949, April.
  30. Gharbi, Sami & Sahut, Jean-Michel & Teulon, Frédéric, 2014. "R&D investments and high-tech firms' stock return volatility," Technological Forecasting and Social Change, Elsevier, vol. 88(C), pages 306-312.
  31. Antonio Gledson de Carvalho & Roberto Pinheiro & Joelson Oliveira Sampaio, 2016. "The Dotcom Bubble and Underpricing: Conjectures and Evidence," Working Papers (Old Series) 1633, Federal Reserve Bank of Cleveland.
  32. Yuan Li & Yu Zhang, 2021. "Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies," SAGE Open, , vol. 11(2), pages 21582440211, June.
  33. Yaowen Shan & Stephen Taylor & Terry Walter, 2013. "Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility," Abacus, Accounting Foundation, University of Sydney, vol. 49(4), pages 441-475, December.
  34. Bala A. Dahiru & Pam W. Jim & Kalu N. Nwonyuku, 2017. "Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach," Economics Bulletin, AccessEcon, vol. 37(4), pages 2394-2412.
  35. Yuchao Fan, 2022. "Dissecting the dot-com bubble in the 1990s NASDAQ," Papers 2206.14130, arXiv.org, revised Jul 2022.
  36. S. D. Bekiros & D. A. Georgoutsos, 2008. "Direction-of-change forecasting using a volatility-based recurrent neural network," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 407-417.
  37. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 117-133, June.
  38. Aliyev, Fuzuli & Ajayi, Richard & Gasim, Nijat, 2020. "Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  39. Mukul Bhatnagar & Sanjay Taneja & Ramona Rupeika-Apoga, 2023. "Demystifying the Effect of the News (Shocks) on Crypto Market Volatility," JRFM, MDPI, vol. 16(2), pages 1-16, February.
  40. Adrian Van Rixtel & Luna Romo González & Jing Yang, 2015. "The determinants of long-term debt issuance by European banks: evidence of two crises," BIS Working Papers 513, Bank for International Settlements.
  41. Aigbe Akhigbe & Anna D. Martin & Melinda L. Newman, 2010. "Information Asymmetry Determinants of Sarbanes‐Oxley Wealth Effects," Financial Management, Financial Management Association International, vol. 39(3), pages 1253-1272, September.
  42. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  43. Matthew C. Li, 2014. "The US zero-coupon yield spread as a predictor of excess daily stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 889-906, July.
  44. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
  45. Sheila Dow & Matthias Klaes & Alberto Montagnoli, 2009. "Risk And Uncertainty In Central Bank Signals: An Analysis Of Monetary Policy Committee Minutes," Metroeconomica, Wiley Blackwell, vol. 60(4), pages 584-618, November.
  46. Le, TN-Lan & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2021. "Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
  47. Schotman, Peter C. & Zalewska, Anna, 2006. "Non-synchronous trading and testing for market integration in Central European emerging markets," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 462-494, October.
  48. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  49. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank.
  50. Akeem Rahaman & Scott Mark Romeo Mahadeo, 2024. "Constructing country-specific debt sustainability indices for developing countries," Working Papers in Economics & Finance 2024-01, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  51. Fabrizio Casalin & Enzo Dia, 2016. "The dynamic interrelation between external finance and bank credit," Applied Economics, Taylor & Francis Journals, vol. 48(3), pages 243-259, January.
  52. Chow, William W. & Fung, Michael K., 2008. "Volatility of stock price as predicted by patent data: An MGARCH perspective," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 64-79, January.
  53. Håkan Jankensgård & Anders Vilhelmsson, 2018. "The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence," Financial Management, Financial Management Association International, vol. 47(1), pages 55-79, March.
  54. Walid Y. Busaba & Yun Li & Guorong Yang, 2015. "Market Volatility and IPO Filing Activity," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-46, December.
  55. Bekiros, Stelios D., 2010. "Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1153-1170, June.
  56. Gugler, Klaus & Haxhimusa, Adhurim & Liebensteiner, Mario & Schindler, Nora, 2016. "Investment under Uncertainty in Electricity Generation," Department of Economics Working Paper Series 234, WU Vienna University of Economics and Business.
  57. Chernov, Mikhail, 2007. "On the Role of Risk Premia in Volatility Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 411-426, October.
  58. Chaudhry, Neeru, 2021. "Tax aggressiveness and idiosyncratic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  59. Ha Nguyen & Bin Liu & Nirav Y. Parikh, 2020. "Exploring the short-term momentum effect in the cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 425-443, July.
  60. Ikram ul Haq & Kashif Rashid, 2014. "Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan," Oeconomics of Knowledge, Saphira Publishing House, vol. 6(1), pages 10-31, March.
  61. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  62. Ciner, Cetin, 2006. "A further look at linkages between NAFTA equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 338-352, July.
  63. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.
  64. Bruce Mizrach, 2002. "The Next Tick on Nasdaq: Does Level II Information Matter?," Departmental Working Papers 200202, Rutgers University, Department of Economics.
  65. Ryan Lemand, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, University Library of Munich, Germany, revised 07 Dec 2020.
  66. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  67. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
  68. Fuli Feng & Xiangnan He & Xiang Wang & Cheng Luo & Yiqun Liu & Tat-Seng Chua, 2018. "Temporal Relational Ranking for Stock Prediction," Papers 1809.09441, arXiv.org, revised Jan 2019.
  69. Marie-Claude Beaulieu & Habiba Mrissa Bouden, 2015. "Firm-specific risk and IPO market cycles," Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5354-5377, October.
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