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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/10003887350

Global and regional financial integration in emerging Asia : evidence from stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative …

Persistent link: https://www.econbiz.de/10011654611

The global effects of Covid-19-induced uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard - 2020

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world … outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%. …

Persistent link: https://www.econbiz.de/10012213164

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We … after GFU shocks, the larger the world output contraction is. …

Persistent link: https://www.econbiz.de/10012431805

Financial integration and European tourism stocks

Caporale, Guglielmo Maria; Yfanti, Stavroula; … - 2023

This study examines the macro drivers of the time-varying (dynamic) connectedness between eleven European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is explained by common global fundamentals. The...

Persistent link: https://www.econbiz.de/10013540847