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Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011597965
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Novel evidence from APEC countries on stock market integration and volatility spillover : a Diebold and Yilmaz approach
Kakran, Shubham; Sidhu, Arpit; Bajaj, Parminder Kaur; … - In: Cogent economics & finance 11 (2023) 2, pp. 1-23
The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...
Persistent link: https://www.econbiz.de/10014502815
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10010490457
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Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011597973
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Liquidity-adjusted CAPM : an empirical analysis on Indian stock market
Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....
Persistent link: https://www.econbiz.de/10012023356
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Estimating capital flows to emerging market economies with heterogeneous panels
Hernández, Marco A. - 2015
Current data provide macroeconomic information for a large number of countries and for a long period of time (macro panels). This causes that in these panels slope heterogeneity and crosssection dependence (CSD) are a rule rather than the exception, leading to fixed effects slope estimators to...
Persistent link: https://www.econbiz.de/10010486876
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
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An investigation of financial contagion between cryptocurrency and equity markets : evidence from developed and emerging markets
Niyitegeka, Olivier; Zhou, Sheunesu - In: Cogent economics & finance 11 (2023) 1, pp. 1-21
investigates the presence of the pure (narrow) form of financial contagion between cryptocurrency and stock markets in both … periods of financial upheaval (compared to a tranquil period) indicates the presence of the pure form of financial contagion …
Persistent link: https://www.econbiz.de/10014500791
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On the dynamics of international stock market efficiency
Khaled, Mohammed S.; Keef, Stephen P. - In: Cogent economics & finance 2 (2014) 1, pp. 1-11
The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...
Persistent link: https://www.econbiz.de/10010470565
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Calendar anomalies in African stock markets
Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...
Persistent link: https://www.econbiz.de/10013184417