Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, and futures exchanges make it possible for dealers in a particular commodity to offset their risks by trading options in that commodity. While there has been extensive research into agent-based trading in individual markets, there is litt...

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We nd strong evidence of heteroskedasticity in daily, weekly and monthly returns. The conditional variance of all three data series seem best approximated by a garch(1,1) model. The garch parameter estimates at all data frequencies exhibit strong persistence in...

There are 22 stock exchanges in India, the first being the Bombay Stock Exchange (BSE), which began formal trading in 1875, making it one of the oldest in Asia. Over the last few years, there has been a rapid change in the Indian securities market, especially in the secondary market. Advanced technology and online-based transactions have modernized the stock exchanges. In terms of the number of...

Many stock exchanges set up certain limits on the maximum variation that a stock is allowed to have in a single day. Table 1 gives an overview of the price limit rules of some of the world exchanges. As reflected in the table, among stock exchanges in 41 countries that we obtain information, 23 of them have price limits and 7 of them have some kinds of circuit breaker rules. The normal assertio...

The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern European stock markets (Greece, Italy, Portugal, and Spain). The main motivation of the study is to use t...

Abstract This study investigates the short- and long-term effects of various sources uncertainty on share prices key exchanges in emerging nations. The sample comprises monthly time series data from January 2017 to December 2021 for China, India, Russia, Brazil. contains a version Autoregressive-Distributive-Lag (ARDL) with error correction as well other relevant approaches series. Economic pol...