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Examining evidence of "shift-contagion" in African stock markets : a CoVaR-copula approach

Boako, Gideon; Alagidede, Paul - In: Review of development finance 7 (2017) 2, pp. 142-156

This paper examines for the first time contagion to African stock markets with particular attention to the quantification of, and testing for the impact of (extreme) downside movements in foreign exchange and developed stock markets on the (extreme) downside risks in Africa stock markets. Using...

Persistent link: https://www.econbiz.de/10011779566

The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates

Brailsford, Tim - 2016

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...

Persistent link: https://www.econbiz.de/10013004401

Mercados cambiarios y tipos de cambio de Asia y Latinoamérica : sincronización de largo plazo, cambios estructurales y choques estocásticos

Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 295-317

structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long …

Persistent link: https://www.econbiz.de/10011870778

The empirics of Canadian government securities yields

Akram, Tanweer; Das, Anupam - 2020

applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The …

Persistent link: https://www.econbiz.de/10012149851

The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries

Sakemoto, Ryuta - 2017

This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to...

Persistent link: https://www.econbiz.de/10012946764

Inter Linkages of Indian Stock Market with Advanced Emerging Markets

Tripathi, Vanita - 2012

31 December 2009 using Johansen co-integration test and Granger's causality test. The analysis of daily data shows that …

Persistent link: https://www.econbiz.de/10013098829

The PIIGS Stock Markets Before and After the 2008 Financial Crisis : A Dynamic Cointegration and Causality Analysis

Chouliaras, Andreas - 2013

This paper investigates whether cointegration and causality relationships exist among the stock markets of the PIIGS …-crisis period” and the second “crisis period”. We apply a battery of tests such as Johansen cointegration, Granger causality …, Gregory and Hansen residuals cointegration with regime shifts, fully modified ordinary least squares, as well as a …

Persistent link: https://www.econbiz.de/10013090394

Foreign direct investment inflows and financial development in Central and Eastern European Union countries : a panel cointegration and causality

Bayar, Yılmaz; Gavriletea, Marius Dan - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-13

Foreign direct investment (FDI) inflows have increased considerably in the globalized world as of the mid-1980s. The main objective of this research is to analyze interactions between FDI inflows and financial sector development in Central and Eastern European Union countries between 1996 and...

Persistent link: https://www.econbiz.de/10011883255

An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets

Christopoulos, Apostolos G. - 2015

also as the PIIGS countries. More specifically, it is examined whether cointegration and causality relationships exists …) among these stock markets is also tested. In case of cointegration relationships between these markets it is proved that …

Persistent link: https://www.econbiz.de/10013030605

Information Flows between Eurodollar Spot and Futures Markets

Cheung, Yin-Wong - 2016

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

Persistent link: https://www.econbiz.de/10013004214