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-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …
Persistent link: https://www.econbiz.de/10013397677
indicate that among all the natural disasters considered, the 2008 Sichuan Earthquake in China caused the most substantial …
Persistent link: https://www.econbiz.de/10011855248
Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines of economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet been delved into or gauged in any tourist destination....
Persistent link: https://www.econbiz.de/10013369139
In a context characterized by an increasing integration among financial markets, we aim to analyze whether the ECB unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We augment the Markov switching Asymmetric...
Persistent link: https://www.econbiz.de/10012587787
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated...
Persistent link: https://www.econbiz.de/10014295230
hit. This study focuses on the volatility estimation of stock indexes in the Chinese Airport Shipping Set (ASS) at …
Persistent link: https://www.econbiz.de/10012388774
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility...
Persistent link: https://www.econbiz.de/10013168752
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains...
Persistent link: https://www.econbiz.de/10012172980