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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 crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Determinants of stock market co-movements between Pakistan and Asian emerging economies
Aamir, Muhammad; Ali Shah, Syed Zulfiqar - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-14
This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study...
Persistent link: https://www.econbiz.de/10011895801
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Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index
Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13
Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...
Persistent link: https://www.econbiz.de/10014284076
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Financial contagion : a tale of three bubbles
Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14
The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …
Persistent link: https://www.econbiz.de/10012587643
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The spillover effects of the us unconventional monetary policy : new evidence from asian developing countries
Thi Bich Ngoc Tran; Hoang Cam Huong Pham - In: Journal of risk and financial management : JRFM 13 (2020) 8/165, pp. 1-26
This paper aims to trace the monthly responses of equity prices, long-term interest rates, and exchange rates in Asian developing markets to the US unconventional monetary policy (UMP). The main research question is to explore whether UMP shocks exist in those markets. We also consider the...
Persistent link: https://www.econbiz.de/10012322325
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Board-gender diversity, family ownership, and dividend announcement : evidence from Asian emerging economies
Mustafa, Adeel; Saeed, Abubakr; Awais, Muhammad; Aziz, … - In: Journal of risk and financial management : JRFM 13 (2020) 4/62, pp. 1-20
In eras of intense debates on the appointment of women on corporate boards, this research sheds light on the structure of board in Asian emerging economies by examining how women on board of family businesses separately and collectively affect the dividend announcement of business organizations....
Persistent link: https://www.econbiz.de/10012302483
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Contemporary issues in business and economics in Vietnam and other Asian emerging markets
Chang, Chia-Lin; Duc Hong Vo - In: Journal of risk and financial management : JRFM 13 (2020) 6/109, pp. 1-4
issues in relation to the Asian region such as the exchange rate regime in Asia, financial inclusion, and financial …
Persistent link: https://www.econbiz.de/10012305078
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the … US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost …
Persistent link: https://www.econbiz.de/10012388066
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Gold against Asian stock markets during the COVID-19 outbreak
Yousaf, Imran; Bouri, Elie; Ali, Shoaib; Azoury, Nehme - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-23
This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a...
Persistent link: https://www.econbiz.de/10012522356
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A giant falls : the impact of evergrande on Asian stock indexes
Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-14
The economic growth of China has been driven by the development of its real estate market, especially after the 2008 crisis. This growth is mostly related to the huge housing bubble and growing amounts of sovereign debt that have been redirected to corporations in the sector. Evergrande is one...
Persistent link: https://www.econbiz.de/10013375132