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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010265964
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10010270472
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Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …
Persistent link: https://www.econbiz.de/10012227664
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What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies
Ayala, Diana; Nedeljkovic, Milan; Saborowski, Christian - 2017
This paper studies the determinants of shifts in debt composition among emerging market non-financial corporates. We show that the determinants of bond market access in EMs vary with global cyclical conditions and across local and foreign currency markets. We find that the role for institutions...
Persistent link: https://www.econbiz.de/10011615931
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kocenda, Evézen; Zikes, Filip - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...
Persistent link: https://www.econbiz.de/10010270529
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Simultaneous stochastic volatility transmission across American equity markets
Weber, Enzo - 2008
Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10010263740
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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10010318768
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Liberalization and stock market co-movement between emerging economies
Beine, Michel; Candelon, Bertrand - 2007
In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...
Persistent link: https://www.econbiz.de/10010264238
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Networks of Volatility Spillovers among Stock Markets
Baumöhl, Eduard; Kocenda, Ev en; Lyócsa, Stefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011657197
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China's Capital Flight: Pre- and Post-Crisis Experiences
Cheung, Yin-Wong; Steinkamp, Sven; Westermann, Frank - 2015
We study China’s illicit capital flow and document a change in its pattern. Specifically, we observe that China’s capital flight, especially the one measured by trade misinvoicing, exhibits a weakened response in the post-2007 period to the covered interest disparity, which is a theoretical...
Persistent link: https://www.econbiz.de/10011388252