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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

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

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

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

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

This paper investigates the relationship between the BRICs’ and the advanced economies’ stock markets from 2000 to 2016 utilizing continuous wavelet transform. The continuous wavelet transform allows us to explore these relationships in the time-frequency domain to capture short- and...

Persistent link: https://www.econbiz.de/10012794261

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

GARCH (1,1) models and analysis of stock market turmoil during COVID-19 outbreak in an emerging and developed economy

Setiawan, Budi; Abdallah, Marwa Ben; Fekete-Farkas, Maria; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic...

Persistent link: https://www.econbiz.de/10012798651

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

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

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