Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia.

Hassan Zada, Huma Maqsood, Shakeel Ahmed, Muhammad Zeb Khan

Open access · bronzeAbstract read

In one paragraph

Article in SN business & economics, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.

0numbers the graph read from it

0cells of the map it votes in

1citing papers in PubMed

3.4field-weighted citation impact, top 6% of its field

1 · What the graph read from it

What it found

Each row is one number read from the abstract, on the scale the paper reported it, with its interval. Left of the dashed line favours the treatment, right favours the comparator. Under each row is the sentence it came from. New to these charts? A ten-minute tutorial.

The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.

2 · The registry

The trial behind it

Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.

Neither the registry nor the abstract names a trial number. If this is a trial report, that itself is worth knowing.

3 · Its place in the literature

Who cites it

1 citing paper in PubMed, 6 citations in OpenAlex.

Does US monetary policy uncertainty affect returns of Asian Developed, emerging, and frontier equity markets? Empirical evidence by using the quantile-on-quantile approach.Heliyon · 2024
Article

4 · The record

Corrections and comments

PubMed lists nothing against this paper. Absence here is not a guarantee, only a check that was made.

5 · Who and what money

Authors and funding

4 authors at 2 institutions in 1 country.

Hassan ZadaDepartment of Management Sciences, SZABIST, Islamabad, Pakistan.ORCID 0000-0003-3347-2867

Huma MaqsoodDepartment of Social Sciences, SZABIST, Islamabad, Pakistan.

Shakeel AhmedDepartment of Management Sciences, SZABIST, Islamabad, Pakistan.

Muhammad Zeb KhanFaculty of Management Sciences, HITEC University, Taxila, Pakistan.

Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology · PKHITEC University · PK

Funding

No grant is acknowledged in the PubMed record.

6 · The paper itself

Abstract

This research explores the function of information shocks in equity returns and integrated volatility of emerging Asian markets using Swap Variance (SwV) approach on the period of 20 years (Feb 2001-Feb 2020). It compares average monthly returns and volatility of shock periods with non-shock periods after separating negative and positive shocks. Findings reveal frequent occurrence of information shocks in all Asian developed equity markets with positive shocks than that of negative shocks. Moreover, highly volatile Asian developed markets earn higher returns during shocks periods, while markets with higher volatility and lower continuous returns are adversely affected during shocks periods. The ratio of total realized volatility and the average ratio of shocks volatility establish that shocks account for a considerable amount of volatility, and integrated volatility is higher during negative shocks phases. The study has implications for all stakeholders of financial markets for rational investment decisions.

Indexed as

Bipower variationRealized volatilityShock identificationSwap varianceTripower variation

Identifiers

PMID36684690

DOI10.1007/s43546-022-00417-w

PMCPMC9838341

OpenAlexW4313837358

What OpenQuestion holds

Textmetadata

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Registered trials

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Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.