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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
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The 2011 Japanese earthquake, tsunami and nuclear crisis: Evidence of contagion from international financial markets
Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10010814920
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252
Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...
Persistent link: https://www.econbiz.de/10011056986
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Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets
Samarakoon, Lalith P. - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 724-742
contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …
Persistent link: https://www.econbiz.de/10010572103
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Exchange risk and market integration
Chaieb, Ines; Errunza, Vihang R. - 2014
Market integration and currency risk are two main factors that distinguish international investment and financing decisions. Hence, we investigate the impact of currency factor on the dynamics of market integration. We compare integration indices estimated from conditional international asset...
Persistent link: https://www.econbiz.de/10010337959
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From Carry Trades to Trade Credit : Financial Intermediation by Non-Financial Corporations
Hardy, Bryan; Saffie, Felipe - National Bureau of Economic Research - 2023
We use unique firm-level data from Mexico to document that non-financial corporations engage in carry trades by borrowing in foreign currency (FX) and lending in domestic currency, largely in the form of trade credit, accumulating currency risk in the process. We show at a quarterly frequency...
Persistent link: https://www.econbiz.de/10014250200
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Volatility and return spillovers in Canadian and U.S. industry ETFs
Krause, Timothy; Tse, Yiuman - In: International Review of Economics & Finance 25 (2013) C, pp. 244-259
Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada...
Persistent link: https://www.econbiz.de/10010588160
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Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
Aloui, Chaker; Hkiri, Besma - In: Economic Modelling 36 (2014) C, pp. 421-431
This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the...
Persistent link: https://www.econbiz.de/10010729811
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An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits
Guidi, Francesco; Ugur, Mehmet - In: Journal of International Financial Markets, … 30 (2014) C, pp. 119-136
This paper investigates whether the South-Eastern European (SEE) stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA. Using static cointegration analysis, we find that the SEE markets are cointegrated...
Persistent link: https://www.econbiz.de/10010789908
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The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion
Horta, Paulo; Lagoa, Sérgio; Martins, Luís - In: International Review of Financial Analysis 35 (2014) C, pp. 140-153
contagion. We observed that the 2008 crisis had a greater impact on the memory properties of stock returns than the 2010 …
Persistent link: https://www.econbiz.de/10011077784