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Applied Economics Letters Volume 24, 2017 - Issue 11
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Articles

Stock market uncertainty and interest rate behaviour: a panel GARCH approach

Harold Glenn A. ValeraDepartment of Economics, University of Waikato, Hamilton, New ZealandCorrespondence[email protected]
,
Mark J. HolmesDepartment of Economics, University of Waikato, Hamilton, New Zealand
&
Gazi HassanDepartment of Economics, University of Waikato, Hamilton, New Zealand
Pages 732-735 | Published online: 25 Aug 2016

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Xin Li, Chi-Wei Su, Zheng Li & Muhammad Umar. (2023) What threatens stock market returns under the COVID-19 crisis in China: the pandemic itself or the media hype around it?. Economic Research-Ekonomska Istraživanja 36:2.
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Ruipeng Liu & Rangan Gupta. (2022) Investors’ Uncertainty and Forecasting Stock Market Volatility. Journal of Behavioral Finance 23:3, pages 327-337.
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Articles from other publishers (10)

Ahmet Ihsan Kaya & Lutfi Erden. (2022) Capital‐flow volatility in emerging markets: A panel GARCH approach. International Finance 26:2, pages 172-188.
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Manabu Asai. (2023) Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. Econometrics and Statistics 25, pages 23-38.
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Wenzhao Wang, Chen Su & Darren Duxbury. (2022) The conditional impact of investor sentiment in global stock markets: A two-channel examination. Journal of Banking & Finance 138, pages 106458.
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Pinar Deniz, Thanasis Stengos & M. Ege Yazgan. (2020) Revisiting the link between output growth and volatility: panel GARCH analysis. Empirical Economics 61:2, pages 743-771.
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Gökhan Silahtaroğlu, Hasan Dinçer & Serhat YükselGökhan Silahtaroğlu, Hasan Dinçer & Serhat Yüksel. 2021. Data Science and Multiple Criteria Decision Making Approaches in Finance. Data Science and Multiple Criteria Decision Making Approaches in Finance 129 144 .
Zekai ŞENOL. (2020) BORSA, DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ OYNAKLIK YAYILIMIVOLATILITY SPILLOVER BETWEEN STOCK MARKET, EXCHANGE RATE AND OIL PRICES. Muhasebe Bilim Dünyası Dergisi 22:4, pages 629-647.
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HOSSEIN HASSANI, MOHAMMAD REZA YEGANEGI & RANGAN GUPTA. (2021) HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY?. Annals of Financial Economics 15:04, pages 2050018.
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Mohammed Shahateet, Najib Shrydeh & Suleiman Mohammad. (2019) Testing the linkages of Arab stock markets: a multivariate GARCH approach. Investment Management and Financial Innovations 16:4, pages 192-204.
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Wilson Donzwa, Rangan Gupta & Mark E. Wohar. (2019) Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies. Journal of Central Banking Theory and Practice 8:3, pages 39-50.
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Harold Glenn A. Valera, Mark J. Holmes & Gazi M. Hassan. (2017) Is inflation targeting credible in Asia? A panel GARCH approach. Empirical Economics 54:2, pages 523-546.
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