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Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

Dungey, Mardi; Gajurel, Dinesh - In: Economic Systems 38 (2014) 2, pp. 161-177

and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to … advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion … effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a …

Persistent link: https://www.econbiz.de/10010780722

Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis

Dewandaru, Ginanjar; Rizvi, Syed Aun R.; Masih, Rumi; … - In: Economic Systems 38 (2014) 4, pp. 553-571

discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the … subprime crisis reveals fundamentals-based contagion. While Islamic markets show traces of reduced exposure to the recent …

Persistent link: https://www.econbiz.de/10011115994

Direct and indirect oil shocks and their impacts upon energy related stocks

Broadstock, David C.; Wang, Rui; Zhang, Dayong - In: Economic Systems 38 (2014) 3, pp. 451-467

We attempt to consolidate (at least in part) the vast literature on oil shocks and stock returns by decomposing the influence of oil shocks into two channels of effect: ‘direct’ and ‘indirect’. Using a simple empirical asset pricing model, it is shown that oil shocks can affect stocks...

Persistent link: https://www.econbiz.de/10010930600

Crises, portfolio flows, and foreign direct investment: An application to Turkey

Uctum, Merih; Uctum, Remzi - In: Economic Systems 35 (2011) 4, pp. 462-480

We analyze how financial and economic crises affect the relation between the components of capital flows and their determinants in an emerging economy. Our results suggest that the composition of capital flows matters, crises can explain the volatility of portfolio flows and foreign direct...

Persistent link: https://www.econbiz.de/10010571866

Sharing risk within and across countries: the role of labor market institutions

Lo Prete, Anna - In: Economic Systems 37 (2013) 3, pp. 449-461

This paper studies the effect of labor market institutions on within- and cross-country risk sharing, using a model of international trade in risky assets modified to include a subset of agents, labor-owners who do not access financial markets, and employment security provisions. Labor market,...

Persistent link: https://www.econbiz.de/10010702389

Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets

Lazăr, Dorina; Todea, Alexandru; Filip, Diana - In: Economic Systems 36 (2012) 3, pp. 338-350

This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the generalized spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the...

Persistent link: https://www.econbiz.de/10011040277

Determinants of European stock market integration

Büttner, David; Hayo, Bernd - In: Economic Systems 35 (2011) 4, pp. 574-585

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

Persistent link: https://www.econbiz.de/10011040279

International stock market integration: Central and South Eastern Europe compared

Horvath, Roman; Petrovski, Dragan - In: Economic Systems 37 (2013) 1, pp. 81-91

We examine the international stock market comovements between Western Europe vis-à-vis Central (Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006–2011. Comparing these two groups, we find that the...

Persistent link: https://www.econbiz.de/10011040286

Balance sheet effects and original sinners’ risk premiums

Tkalec, Marina; Vizek, Maruška; Verbič, Miroslav - In: Economic Systems 38 (2014) 4, pp. 597-613

This paper describes an empirical model of country risk premiums and their determinants, relying on recent theories of balance sheet effects. We approach the latter by introducing a novel approach to country risk premiums that assumes that nominal exchange rates can move away from or towards...

Persistent link: https://www.econbiz.de/10011115992

Contagion risk in the Czech financial system: A network analysis and simulation approach

Hausenblas, Václav; Kubicová, Ivana; Lešanovská, Jitka - In: Economic Systems 39 (2015) 1, pp. 156-180

This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures … computational model is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the … the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures …

Persistent link: https://www.econbiz.de/10011263206