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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/10014232595

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/10014502815

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/10011597965

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria - 2008

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10014401286

The changing role of emerging and frontier markets in global portfolio diversification

Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Persistent link: https://www.econbiz.de/10014233132

Restrictive policy impacts in emerging economies

Zehri, Chokri - In: Cogent economics & finance 8 (2020) 1, pp. 1-18

The policy responses to capital flows in emerging markets are multiple. However, capital inflow controls, if applied sufficiently broadly, can buttress all other policies by limiting the volume of capital inflows and address balance sheet vulnerabilities. The study analyzes the effects of...

Persistent link: https://www.econbiz.de/10013179583

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Purpose-The purpose of this paper is to examine the transmission mechanisms and dynamic spillover effects between gold spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging effectiveness between stocks and gold in major US financial...

Persistent link: https://www.econbiz.de/10014233046

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....

Persistent link: https://www.econbiz.de/10012023356

Do multi-sector bond funds pose risks to emerging markets?

Cortes, Fabio; Sanfilippo, Luca - 2020

Emerging economies in the post-crisis period increasingly saw portfolio debt inflows from a type of large international investment fund: Multi-Sector Bond Funds (MSBFs). These investors have lacked adequate representation in the literature. This paper constructs a new detailed database from...

Persistent link: https://www.econbiz.de/10012300674

Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

-varying correlations between currencies were evident during the Eurozone crisis. This suggests pure form of financial contagion between the … formulated to insulate the rand from contagion. The contributions of the study are twofold. First, it informs the investors in … on pure form of contagion by testing whether there exists an asymmetric correlation between the rand and euro over …

Persistent link: https://www.econbiz.de/10012215203

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