Stock Market Crashes, Firm Characteristics, and Stock Returns

2008 ◽  
Author(s):  
Gulser Meric
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Firm Characteristics ◽  
Market Crashes

Stock market crashes, firm characteristics, and stock returns

2009 ◽  
Vol 33 (9) ◽  
pp. 1563-1574 ◽  
Author(s):  
Jia Wang ◽  
Gulser Meric ◽  
Zugang Liu ◽  
Ilhan Meric
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Firm Characteristics ◽  
Market Crashes

CONDITIONAL JUMP DYNAMICS IN STOCK RETURNS: EVIDENCE FROM MIST STOCK EXCHANGES

2015 ◽  
Vol 60 (01) ◽  
pp. 1550005 ◽  
Author(s):  
HAKAN DANIS ◽  
ENDER DEMIR ◽  
MEHMET HUSEYIN BILGIN
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Probability ◽  
Stock Exchanges ◽  
Parameter Estimates ◽  
Market Crashes ◽  
Jump Model ◽  
Jump Intensity ◽  
Positive Jump ◽  
The Impact

This paper applies a conditional jump model that was proposed by Chan and Maheu (2002) to examine the stock market dynamics of Mexico, Indonesia, South Korea, and Turkey (MIST). We find that the conditional jump intensity parameter estimates are statistically significant and change dramatically between two sample periods. We show that a high probability of jumps today predicts a high probability of jumps in the next period. The impact of a previous shock to the next period's jump intensity is found to be higher in Turkey compared to other MIST countries. Contrary to the previous literature, we discover that after a stock market crash, it is more likely to see a negative jump (drop) again in the stock exchanges of Mexico and Indonesia. Only in Turkey, it is more likely to see a positive jump after market crashes.

When the Market Went Viral: COVID-19, Stock Returns, and Firm Characteristics

2020 ◽  
Author(s):  
Avijit Bansal ◽  
Balagopal Gopalakrishnan ◽  
Joshy Jacob ◽  
Pranjal Srivastava
Keyword(s):  
Stock Returns ◽  
Firm Characteristics
Sign in / Sign up

Export Citation Format

Share Document