Narrow search
Showing 1 - 10 of 127
Cover Image
Macroeconomic environment, country risk and stock market performance: Evidence for Brazil
Montes, Gabriel Caldas; Tiberto, Bruno Pires - In: Economic Modelling 29 (2012) 5, pp. 1666-1678
The paper aims at providing empirical evidence about (i) the influence of macroeconomic variables and economic policies on country risk and (ii) the influence of macroeconomic variables and country risk on the main Brazilian index of the stock market (Ibovespa). The study analyzes the role that...
Persistent link: https://www.econbiz.de/10010597515
Cover Image
Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
Aloui, Chaker; Hkiri, Besma - In: Economic Modelling 36 (2014) C, pp. 421-431
This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the...
Persistent link: https://www.econbiz.de/10010729811
Cover Image
Assessing the impacts of oil price fluctuations on stock returns in emerging markets
Aloui, Chaker; Nguyen, Duc Khuong; Njeh, Hassen - In: Economic Modelling 29 (2012) 6, pp. 2686-2695
This paper investigates the effects of oil price shocks on stock market returns in emerging countries. It differs from previous works in three main aspects: i) we distinguish three groups of countries, the largest net-oil importing countries, the moderately oil-dependent countries, and the...
Persistent link: https://www.econbiz.de/10010588236
Cover Image
A core–periphery framework in stock markets of the euro zone
Dias, José G.; Ramos, Sofia B. - In: Economic Modelling 35 (2013) C, pp. 320-329
The introduction of the euro was expected to have an effect not only on real convergence of economies but also on stock markets. This research compares the dynamics and synchronization of stock market regimes in European markets before and after the euro launch. Countries of the euro zone are...
Persistent link: https://www.econbiz.de/10010719372
Cover Image
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic Modelling 28 (2011) 6, pp. 2560-2565
This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is … any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out … contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails …
Persistent link: https://www.econbiz.de/10010573305
Cover Image
Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene; Min, Hong-Ghi; Kim, Bong-Han; Kim, Hyeongwoo - In: Economic Modelling 35 (2013) C, pp. 338-348
economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post …
Persistent link: https://www.econbiz.de/10010719370
Cover Image
The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959
The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …
Persistent link: https://www.econbiz.de/10011048686
Cover Image
The sovereign spread in Asian emerging economies: The significance of external versus internal factors
Banerji, Sanjay; Ventouri, Alexia; Wang, Zilong - In: Economic Modelling 36 (2014) C, pp. 566-576
This paper investigates the dynamic relations between external factors, domestic macroeconomic factors with sovereign spreads, debt to GDP ratio, etc. in Asian emerging countries. First, we develop a theoretical model that determines the equilibrium debt level, probability of default and...
Persistent link: https://www.econbiz.de/10010729809
Cover Image
Economic forecasts and sovereign yields
Afonso, António; Nunes, Ana Sofia - In: Economic Modelling 44 (2015) C, pp. 319-326
We assess whether the corrections made to the EC macro and fiscal forecasts (GDP growth rate, inflation, budget balance, debt ratio, current account) have an impact in sovereign yields. We perform a panel analysis of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France,...
Persistent link: https://www.econbiz.de/10011116986
Cover Image
Effects of financial liberalization on financial market development and economic performance of the SSA region: An empirical assessment
Ahmed, Abdullahi D. - In: Economic Modelling 30 (2013) C, pp. 261-273
This study investigates the role of financial liberalization in promoting financial deepening and economic growth in Sub-Saharan African countries (SSA). We apply the more efficient system GMM estimator in dynamic panel data that combines first difference and original level specification to deal...
Persistent link: https://www.econbiz.de/10010608266