Predicting stock returns and volatility in brıcs countries during a pandemic: evidence from the novel wild bootstrap likelihood ratio approach

dc.contributor.authorÖzkan, Oktay
dc.contributor.authorOlasehinde-Williams, Godwin
dc.contributor.authorOlanipekun, Ifedola
dc.date.accessioned2023-01-20T08:43:46Z
dc.date.available2023-01-20T08:43:46Z
dc.date.issued2022en_US
dc.departmentFakülteler, İşletme Fakültesi, Yönetim Bilişim Sistemleri (İngilizce) Bölümüen_US
dc.description.abstractIn this study, we examine how attention to different pandemics leads returns and volatility of BRICS stock markets, while controlling for economic policy uncertainty. The attention is measured via the newly developed daily infectious disease equity market volatility tracker (EMV-ID). To achieve the study objective, the wild bootstrap likelihood ratio test is employed in analysing time-series data covering the period November 1997 – May 2021. The estimations confirm a time-varying predictive performance of the EMV-ID on both stock returns and volatility series of BRICS, which increases significantly during the months marked by pandemics. The predictive power of the EMV-ID on stock market volatility is however relatively stronger than its predictive power on stock market returns. Our results are robust to alternative specification of volatility based on a Generalized Autoregressive Conditional Heteroskedasticity model.en_US
dc.identifier.doi10.32065/CJEF.2022.02.02en_US
dc.identifier.scopus2-s2.0-85135281669en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/6108
dc.identifier.urihttps://doi.org/10.32065/CJEF.2022.02.02
dc.identifier.wosWOS:000810458700002en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherFaculty of Social Sciencesen_US
dc.relation.ispartofFinance a Uver - Czech Journal of Economics and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.titlePredicting stock returns and volatility in brıcs countries during a pandemic: evidence from the novel wild bootstrap likelihood ratio approachen_US
dc.typeArticleen_US

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