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Volatility and return spillovers in Canadian and U.S. industry ETFs
Krause, Timothy; Tse, Yiuman - In: International Review of Economics & Finance 25 (2013) C, pp. 244-259
Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada...
Persistent link: https://www.econbiz.de/10010588160
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Measuring the risk premium in uncovered interest parity using the component GARCH-M model
Li, Dandan; Ghoshray, Atanu; Morley, Bruce - In: International Review of Economics & Finance 24 (2012) C, pp. 167-176
The aim of this study is to analyze the potential risk premium inherent in the uncovered interest parity (UIP) condition. The component GARCH-in-mean model is used to measure the time-varying risk premium in UIP and separates the permanent and transitory risks. The results show that the risk...
Persistent link: https://www.econbiz.de/10010943017
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A time-varying perspective on the CAPM and downside betas
Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan - In: International Review of Economics & Finance 29 (2014) C, pp. 440-454
In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...
Persistent link: https://www.econbiz.de/10010729744
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Asymmetric Relationship Between Order Imbalance and Realized Volatility : Evidence from the Australian Market
Bissoondoyal-Bheenick, Emawtee - 2019
This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...
Persistent link: https://www.econbiz.de/10012896689
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Financial integration and international risk spillovers
Lee, Dongwon - In: Economics letters 225 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014308565
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MIDAS volatility forecast performance under market stress : evidence from emerging stock markets
C. Alper, Emre; Fendoglu, Salih; Saltoglu, Burak - In: Economics letters 117 (2012) 2, pp. 528-532
Persistent link: https://www.econbiz.de/10009675108
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Dynamics of the co-movement between stock and maritime markets
Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International Review of Economics & Finance 25 (2013) C, pp. 282-290
This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual...
Persistent link: https://www.econbiz.de/10010588172
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Causality and contagion in EMU sovereign debt markets
Gómez-Puig, Marta; Sosvilla-Rivero, Simón - In: International Review of Economics & Finance 33 (2014) C, pp. 12-27
offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the …
Persistent link: https://www.econbiz.de/10011048277
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Measuring sovereign risk contagion in the Eurozone
Suh, Sangwon - In: International Review of Economics & Finance 35 (2015) C, pp. 45-65
This paper proposes new measures of financial contagion, as observed during the recent Eurozone sovereign debt crisis …. The new measures, referred to as contagion Value-at-Risk and contagion Expected Shortfall, are based on popular risk … model that disentangles contagion from interdependence. We find that contagion effects fluctuate dynamically, sometimes …
Persistent link: https://www.econbiz.de/10011077060
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Option-implied volatility spillover indices for FX risk factors
Grobys, Klaus; Heinonen, Jari-Pekka - In: Economics letters 157 (2017), pp. 83-87
Persistent link: https://www.econbiz.de/10011847318