Showing 1 - 10 of 286
This paper examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the U.S., Europe, and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those...
Persistent link: https://www.econbiz.de/10011220716
We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across...
Persistent link: https://www.econbiz.de/10005342253
This paper examines whether a volatility/risk transmission exists between world energy and the US financial markets during the pre-, the in-, and the post-2008 crisis periods by employing world oil prices and Cleveland financial stress index. It also explores causal dynamics and derives the...
Persistent link: https://www.econbiz.de/10010752447
In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South...
Persistent link: https://www.econbiz.de/10010695849
The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...
Persistent link: https://www.econbiz.de/10010565808
This paper uses a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear Granger causality tests show that whilst economic policy and...
Persistent link: https://www.econbiz.de/10011171753
Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (cayMS), developed to account for structural breaks, is a better predictor of stock returns than the conventional measure (cay) – a finding we...
Persistent link: https://www.econbiz.de/10011188121
This study investigates the predictability of 11 industrialized stock returns with emphasis on the role of U.S. returns. Using monthly data spanning 1980:2 to 2014:12, we show that there exist multiple structural breaks and nonlinearities in the data. Therefore, we employ methods that are...
Persistent link: https://www.econbiz.de/10011272166
We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to...
Persistent link: https://www.econbiz.de/10005063637
An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on...
Persistent link: https://www.econbiz.de/10005063749