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

In: Journal of Risk and Financial Management 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/10012611041

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 12 (2019) 2, 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/10012611108

Groups, pricing, and cost of debt: Evidence from Turkey

Küllü, A. Melih; Raymar, Steven B. - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-31

The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans...

Persistent link: https://www.econbiz.de/10012611002

Volatility spillovers among cryptocurrencies

Smales, Lee A. - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-12

The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...

Persistent link: https://www.econbiz.de/10013201177

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012611806

A new measure for idiosyncratic risk based on decomposition method

Lee, Meng-Horng; Brooks, Robert - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-8

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

Persistent link: https://www.econbiz.de/10014332818

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10012611071

Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices

Alqahtani, Abdullah; Chevallier, Julien - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-17

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets...

Persistent link: https://www.econbiz.de/10012611298

Global spillovers of a Chinese growth slowdown

Ahmed, Shaghil; Correa, Ricardo; Dias, Daniel; … - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-23

This paper analyzes the potential spillovers of a slowdown in Chinese growth to the United States and the rest of the world. Through a combination of structural VAR and DSGE analyses, we find that (1) spillovers from China to the rest of the world have grown significantly in the past decade; (2) the...

Persistent link: https://www.econbiz.de/10014332752

A mean-variance diagnosis of the financial crisis: International diversification and safe havens

Eptas, Alexander; Leger, Lawrence A. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 97-117

We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for 'safe havens'. We use stock index data for a sample of developed, advanced-emerging...

Persistent link: https://www.econbiz.de/10011843224

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