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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …
Persistent link: https://www.econbiz.de/10012309325
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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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Economic stimulus and financial instability : recent case of the U.S. household
Choi, Youngna - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-25
The effectiveness of government policies and economic stimuli during the 2007 financial crisis and the COVID-19 pandemic are compared in this study. While the 2007 financial crisis started in the real estate market and spread through the contagion effect to other sectors, the pandemic halted the...
Persistent link: https://www.econbiz.de/10013273659
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Adjusted net savings of CEE and Baltic nations in the context of sustainable economic growth : a panel data analysis
Larissa, Batrancea; Maran, Rathnaswamy Malar; Ioan, … - In: Journal of risk and financial management : JRFM 13 (2020) 10/234, pp. 1-17
The article investigates the contribution of adjusted net savings to sustainable economic growth for 10 Central and Eastern European and Baltic nations, which are former Soviet bloc nations known as transition economies, using panel data analysis for the period 2005-2016. Our results indicated...
Persistent link: https://www.econbiz.de/10012387989
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Competition, debt maturity, and adjustment speed in China : a dynamic fractional estimation approach
Mirza, Sultan Sikandar; Ahsan, Tanveer; Safdar, Raheel; … - In: Journal of risk and financial management : JRFM 13 (2020) 5/106, pp. 1-17
The purpose of this study was to investigate the capital structure adjustment rate in different levels of product market competitions. We classified Chinese non-financial listed firms into highly, moderately, and less competitive firms and applied an unbiased dynamic panel fractional estimator...
Persistent link: https://www.econbiz.de/10012305002
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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The impact of the U.S. macroeconomic variables on the CBOE VIX Index
Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock … market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk …
Persistent link: https://www.econbiz.de/10013163867
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Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)
Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …
Persistent link: https://www.econbiz.de/10013164975
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The impact of ESG ratings on the systemic risk of European blue-chip firms
Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41
indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …
Persistent link: https://www.econbiz.de/10013168839
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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …
Persistent link: https://www.econbiz.de/10012818141