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of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake …, this paper uses heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across … sampled foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa …
Persistent link: https://www.econbiz.de/10011259170
of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake …, this paper uses heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across … sampled foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa …
Persistent link: https://www.econbiz.de/10010556945
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10008924837
instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …
Persistent link: https://www.econbiz.de/10009004148
indexes and exchange rates, this paper examines if any contagion occurred across financial markets after the March 11, 2011 … reveal that: while no sampled foreign exchange market suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia … and South Africa witnessed a contagion effect. Our results have two paramount implications. Firstly, we have confirmed …
Persistent link: https://www.econbiz.de/10009025270
instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …
Persistent link: https://www.econbiz.de/10011110499
not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two …
Persistent link: https://www.econbiz.de/10011110607
In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...
Persistent link: https://www.econbiz.de/10005260337
This paper examines the dynamic patterns of international linkages of the Japanese government bond yields with government bond yields in the US, the UK and Germany during the period from January 1980 to December 2004. Applying the vector autoregression (VAR) model and the vector error correction...
Persistent link: https://www.econbiz.de/10009650660
The question of whether foreign investments should be systematically hedged against currency risk has not been clearly answered to date. Numerous theoretical and empirical studies have provided contradictory conclusions. This paper examines to what extent foreign bonds and equities are exposed...
Persistent link: https://www.econbiz.de/10008693568