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International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis
Saleem, Kashif - 2008
market at the time of the crisis, evidence of contagion is clear. …
Persistent link: https://www.econbiz.de/10012148552
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What slice of the pie? The corporate bond market boom in emerging economies
Ayala, Diana; Nedeljkovic, Milan; Saborowski, Christian - 2016
​This paper studies the determinants of shifts in debt composition among emerging market non-financial corporates. We show that institutions and macro fundamentals create an enabling environment for bond market development. During the recent boom episode, however, global cyclical factors...
Persistent link: https://www.econbiz.de/10012148782
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The real value of China's stock market
Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - 2018
This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity...
Persistent link: https://www.econbiz.de/10012148818
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - 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/10011559137
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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/10011988707
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What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
Śmiech, Sławomir; Papież, Monika; Dąbrowski, Marek A.; … - 2018
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector...
Persistent link: https://www.econbiz.de/10011873184
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
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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/10015074819
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010322502
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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/10011988709