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Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …

Persistent link: https://www.econbiz.de/10003963822

Contagion risks in emerging stock markets : new evidence from Asia and Latin America

Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial … Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional … correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure …

Persistent link: https://www.econbiz.de/10011960394

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...

Persistent link: https://www.econbiz.de/10014305816

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - 2008

This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...

Persistent link: https://www.econbiz.de/10003825947

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Output growth and fluctuation : the role of financial openness

Popov, Alexander - 2011

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel of 53 countries over 45 years, I find that financial openness increases simultaneously mean growth and the negative skewness of the growth process. The increase in output...

Persistent link: https://www.econbiz.de/10009354652

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

EME financial conditions : which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

Persistent link: https://www.econbiz.de/10012009181

Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies

Apostolou, Apostolos; Beirne, John - 2017

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...

Persistent link: https://www.econbiz.de/10011636172

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

as contagion from BRIC markets’ shocks to advanced economies’ markets. …

Persistent link: https://www.econbiz.de/10012794261

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