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Quantile Coherency across Bonds, Commodities, Currencies, and Equities
Uddin, Gazi Salah; Lucey, Brian M.; Rahman, Md Lutfur; … - 2022
This paper examines quantile coherency in bonds, commodities, currencies, and equities usinga novel quantile coherency approach. While recent literature has explored single-frequencytail - and time-frequency dependence in asset returns, we provide fresh evidence on asset returndependence across...
Persistent link: https://www.econbiz.de/10013289211
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The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil K. - Institute for International Integration Studies (IIIS), … - 2006
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...
Persistent link: https://www.econbiz.de/10005157532
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Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations
Baur, Dirk; Lucey, Brian M. - Institute for International Integration Studies (IIIS), … - 2006
This paper analyzes the existence of flight-to-quality from stocks to bonds and contagion between the two asset classes … increasing correlations in falling stock markets implies contagion across asset classes. We estimate dynamic conditional … contagion are relatively frequent phenomena. Examples of flight-to-quality are in the Asian and Russian crisis 1997 and 1998 and …
Persistent link: https://www.econbiz.de/10005121281
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Real Estate and the Stock Market : A Meta‐Regression Analysis
Gurdgiev, Constantin - 2010
The real estate finance literature provides diverse and contradictory findings regarding the relationship between the real estate market and the stock market. Despite the importance of this relationship to the economy in general relatively little is known of what causes such differences. In this...
Persistent link: https://www.econbiz.de/10013138058
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London or New York : Where and When Does the Gold Price Originate?
Lucey, Brian M. - 2012
We investigate the information shares of the two main centers of gold trading, over a 25 year period, using non-overlapping 4 month windows. We find that neither London nor New York are dominant in terms of price information share, that the dominant market switches from time to time and that...
Persistent link: https://www.econbiz.de/10013099319
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Do U.S. Macroeconomic Surprises Influence Equity Returns? An Exploratory Analysis of Developed Economies
Lucey, Brian M. - 2013
Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that US macro shocks materially and consistently...
Persistent link: https://www.econbiz.de/10013082200
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility...
Persistent link: https://www.econbiz.de/10013071939
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The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve
Cepni, Oguzhan - 2020
This paper investigates the impact of oil price shocks on the Turkish sovereign yield curve factors. The recent oil shock identification scheme of Ready (2018) is modified by using geopolitical oil price risk index in order to capture the changes in the risk perceptions of oil markets driven by...
Persistent link: https://www.econbiz.de/10012835709
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Equity Markets and Economic Development : What Do We Know?
Lagoarde-Segot, Thomas - 2009
The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears...
Persistent link: https://www.econbiz.de/10012721529
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Financial Contagion in Emerging Markets : Evidence from the Middle East and North Africa
Lagoarde-Segot, Thomas - 2009
The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets …) fixed-effect panel approach, we significantly reject the hypothesis of a joint regional contagion. However, using a battery … of bivariate contagion tests based on Forbes and Rigobon (2002), Corsetti (2002), and Favero and Giavazzi (2002), we find …
Persistent link: https://www.econbiz.de/10012721554