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Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012179783
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Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10012891049
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Bitcoin and web search query dynamics: is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012052781
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Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price …
Persistent link: https://www.econbiz.de/10012657908
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Bitcoin and Web Search Query Dynamics : Is the Price Driving the Hype or is the Hype Driving the Price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012866370
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Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras
Wadud, Sania; Durand, Robert B. B.; Gronwald, Marc - 2021
and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price …
Persistent link: https://www.econbiz.de/10013218287
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - 2013
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010292697
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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate …
Persistent link: https://www.econbiz.de/10010292798
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Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Orlando, … - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10011388186
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Macro News and Commodity Returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro …
Persistent link: https://www.econbiz.de/10011388239