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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

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/10011597973

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

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

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - 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/10010490457

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

Risk spillovers among crude oil, gold, and China equity sub-sectors

Zou, Zong-feng; Zhang, Chao; Sun, Xi-yun - In: Cogent economics & finance 12 (2024) 1, pp. 1-20

several periods of financial difficulties, suggesting the existence of market contagion. This pattern of market spillover …

Persistent link: https://www.econbiz.de/10015192507

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

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

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...

Persistent link: https://www.econbiz.de/10014501248