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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …
Persistent link: https://www.econbiz.de/10012171036
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...
Persistent link: https://www.econbiz.de/10011545240
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Financial market integration : evidence from cross-listed French firms
Mehanaoui, Mohamed - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-11
Using high frequency data we investigate the behavior of the intraday volatility and the volume of eight cross-listed French firms. There is a two hour “overlap” period during which French firms are traded in Paris and their related American Depositary Receipts (ADRs) are traded in New York....
Persistent link: https://www.econbiz.de/10011854860
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China's stock market integration with a leading power and a close neighbor
Zheng, Yi; Heng, Chen; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 38-74
memory feature of cointegration residual series, which can in turn exert bias on the resulting inferences. To overcome its … limitations, we employ a fractionally integrated VECM (FIVECM) in this paper to investigate the long-term cointegration relations …
Persistent link: https://www.econbiz.de/10011556100
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Measuring financial fragmentation in the euro area corporate bond market
Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-19
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar...
Persistent link: https://www.econbiz.de/10011961260
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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a …
Persistent link: https://www.econbiz.de/10012322368
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The spillover of inflation among the G7 countries
Istiak, Khandokar; Tiwari, Aviral Kumar; Husain, Humaira; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-20
Many global shocks, including the renegotiation of NAFTA, the United States-China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation...
Persistent link: https://www.econbiz.de/10012627127
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The relationship between yield curve and economic activity : an analysis of G7 countries
Kumar, Ronald Ravinesh; Stauvermann, Peter; Hang Thi Thu Vu - In: Journal of risk and financial management : JRFM 14 (2021) 2/62, pp. 1-23
The yield curve is an important tool to assess the economic progress of a country. In this study, we examine the strength of the relationship between term spread and economic activity, and between the components of the yield curve and economic activity in the G7 countries using monthly data on...
Persistent link: https://www.econbiz.de/10012483955
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Causality between arbitrage and liquidity in platinum futures
Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...
Persistent link: https://www.econbiz.de/10014284282