Showing 1 - 10 of 1,102
of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake …, this paper uses heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across … sampled foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa …
Persistent link: https://www.econbiz.de/10011259170
of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake …, this paper uses heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across … sampled foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa …
Persistent link: https://www.econbiz.de/10010556945
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10008924837
instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …
Persistent link: https://www.econbiz.de/10009004148
indexes and exchange rates, this paper examines if any contagion occurred across financial markets after the March 11, 2011 … reveal that: while no sampled foreign exchange market suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia … and South Africa witnessed a contagion effect. Our results have two paramount implications. Firstly, we have confirmed …
Persistent link: https://www.econbiz.de/10009025270
instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …
Persistent link: https://www.econbiz.de/10011110499
not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two …
Persistent link: https://www.econbiz.de/10011110607
This paper presents empirical evidence on the increasing allocation of institutional investors to emerging markets economies. It seeks to understand which factors are driving this increase, and how this relates to portfolio flows to such economies. By making use of the Emerging Portfolio Fund...
Persistent link: https://www.econbiz.de/10011157003
This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...
Persistent link: https://www.econbiz.de/10005083257
In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...
Persistent link: https://www.econbiz.de/10005260337