Narrow search
Showing 1 - 10 of 121
Cover Image
Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis
Arestis, Philip; Caporale, Guglielmo Maria; Cipollini, … - 2009
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon (2002), we test for...
Persistent link: https://www.econbiz.de/10014088850
Cover Image
Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment …
Persistent link: https://www.econbiz.de/10011341081
Cover Image
International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...
Persistent link: https://www.econbiz.de/10011383099
Cover Image
Macro News and Commodity Returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment …
Persistent link: https://www.econbiz.de/10011388239
Cover Image
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...
Persistent link: https://www.econbiz.de/10011388287
Cover Image
Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10011605159
Cover Image
Financial integration in the GCC region: market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis …, spillovers from the larger markets have become stronger as a result of the 2014 oil crisis. Finally, there is also evidence of …
Persistent link: https://www.econbiz.de/10012052792
Cover Image
Political Tension and Stock Markets in the Arabian Peninsula
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2018
This note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading GCC countries by estimating a VAR-GARCH (1,1) model at a weekly frequency. The results indicate that the June 2017 crisis lowered stock market...
Persistent link: https://www.econbiz.de/10011932091
Cover Image
The Impact of Business and Political News on the GCC Stock Markets
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2018
This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the...
Persistent link: https://www.econbiz.de/10011932103
Cover Image
Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...
Persistent link: https://www.econbiz.de/10010264556