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Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Persistent link: https://www.econbiz.de/10014399563

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR : Evidence from Stock Markets

Zhang, Xiaojing - 2009

that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on … future volatility in HK than in China, reflecting HK''s role as an international financial center. Moreover, the impact of …

Persistent link: https://www.econbiz.de/10014402277

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

Persistent link: https://www.econbiz.de/10014401286

Additions to market indices and the comovement of stock returns around the world

Claessens, Stijn; Yāfe, Yišay - 2011

Persistent link: https://www.econbiz.de/10009487130

Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928

Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10014403861

Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Richards, Anthony J. - 1996

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory...

Persistent link: https://www.econbiz.de/10014398637

Additions to Market Indices and the Comovement of Stock Returns Around the World

Yafeh, Yishay - 2011

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

Persistent link: https://www.econbiz.de/10014402208

Oil prices and GCC stock markets : new evidence from smooth transition models

Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10011852573

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