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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

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

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

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

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

Geographic loan diversification and bank risk: A cross-country analysis

In: Cogent Economics & Finance 8 (2020) 1, pp. 1-19

This study investigates the geographic loan expansion on bank risk using the aggregate data of 53 countries from 2005 to 2016 using the system generalized method of moments. Our findings show that global expansion tends to increase bank insolvency and reduce bank adjusted-risk-performance. Our...

Persistent link: https://www.econbiz.de/10014001558

Umbau der Finanzmärkte: Übermäßiges Vertrauen in Marktrationalität hält an

Dullien, Sebastian - In: Wirtschaftsdienst 93 (2013) Sonderheft, pp. 23-29

Governments on both sides of the Atlantic have reacted with a raft of new regulations to the US subprime mortgage crisis. The article argues that while these new rules actually touch many of the incentive and information problems which were instrumental in creating the crisis, they only address...

Persistent link: https://www.econbiz.de/10010292915

External debt and current account adjustments: The role of trade openness

Ibhagui, Oyakhilome Wallace - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-42

In this paper, we examine the various links among external debt, trade openness and current account in Sub-Saharan Africa, utilizing an approach that highlights current account from the perspective of saving and investment. We explore whether external debt aids the subsequent adjustment process...

Persistent link: https://www.econbiz.de/10011988847

The impact of Shariah Advisory Board characteristics on the financial performance of Islamic banks

Haddad, Achraf; Souissi, Mohamed Naceur - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-38

Theoretical approaches and demonstrated repertoires in the Islamic finance literature have formed a divergent and inconsistent system that did not truly value the importance of the Shariah Advisory Board's quality and practices. The real impacts generated by the Shariah Advisory Board on the...

Persistent link: https://www.econbiz.de/10015074147

The dynamic relationship between government debt, fiscal consolidation, and economic growth in South Africa: A threshold analysis

Buthelezi, Eugene Msizi; Nyatanga, Phocenah - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-23

This paper investigates the threshold impact of government debt on economic growth in the presence of fiscal consolidation in South Africa from 1979 to 2022. The autoregressive threshold regime (TAR) model and two-stage least squares (2SLS) are used. The contribution of the paper is on the...

Persistent link: https://www.econbiz.de/10015074666