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Volatility Transmission: What Does Asia-Pacific Markets Expect?

Shamiri, Ahmed - Volkswirtschaftliche Fakultät, … - 2008

The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from the US and Japan and the rest of the Asia-Pacific markets using daily stock market return data covering the last 14 years. In the majority of the markets under...

Persistent link: https://www.econbiz.de/10005837215

Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach

Erten, Irem; Tuncel, Murat B.; Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 2012

The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging markets, namely India, Hungary, Poland, Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly returns of stock market indices from 2005 to 2011, the...

Persistent link: https://www.econbiz.de/10011107841

The Feasibility of Further Ethanol Expansion

Gagnon, Jeffrey - Volkswirtschaftliche Fakultät, … - 2007

Over the course of the last few years ethanol production has expanded at an incredible pace, putting strain on corn … little effect was felt by food markets. After 2007 ethanol’s demand for corn will begin to weigh on food markets as reduced … supply drives up prices. Corn supply is fast becoming a binding constraint to the ethanol’s growth rate. The feasibility of …

Persistent link: https://www.econbiz.de/10005621902

The economics of U.S. ethanol import tariffs with a consumption mandate and tax credit

de Gorter, Harry; Just, David R. - Volkswirtschaftliche Fakultät, … - 2007

This paper analyzes the impact of an ethanol import tariff in conjunction with a consumption mandate and tax credit. A … tax credit alone acts as a subsidy to ethanol producers, equally benefiting exporters like Brazil. If an import tariff is … imposed to offset the tax credit, world prices of ethanol decline by less than the tariff (unless oil prices are unaffected …

Persistent link: https://www.econbiz.de/10005786910

非遺伝子組換え大豆とエネルギーの価格関係について

Aruga, Kentaka - Volkswirtschaftliche Fakultät, … - 2011

such as those of crude oil and ethanol using the cointegration methods. The results suggest that the prices of the non …

Persistent link: https://www.econbiz.de/10011259819

An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

Balli, Faruk; Basher, Syed Abul; Ghassan, Hassan B.; … - Volkswirtschaftliche Fakultät, … - 2014

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we...

Persistent link: https://www.econbiz.de/10011266243

An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

Faruk, Balli; Syed Abul, Basher; Hassan, Ghassan; … - Volkswirtschaftliche Fakultät, … - 2015

Persistent link: https://www.econbiz.de/10011266244

Financial market interdependencies: a quantile regression analysis of volatility spillover

Ben Rejeb, Aymen; Arfaoui, Mongi - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model...

Persistent link: https://www.econbiz.de/10011127578

Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?

Arfaoui, Mongi; Ben Rejeb, Aymen - Volkswirtschaftliche Fakultät, … - 2015

This article investigates stock-forex markets interdependence in MENA countries for the period spanning from February 26, 1999 to June 30, 2014. The analysis has been performed through three competing models; the VAR-CCC-GARCH model, the VAR-BEKK-GARCH model and the VAR-DCC-GARCH model. Our...

Persistent link: https://www.econbiz.de/10011127581

Global and Regional Volatility Spillovers to GCC Stock Markets

Alotaibi, Abdullah R; Mishra, Anil V - Volkswirtschaftliche Fakultät, … - 2015

This paper examines the effects of return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab Emirates). The paper develops various bivariate GARCH models for regional and global returns: BEKK, constant correlation and...

Persistent link: https://www.econbiz.de/10011111266