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Sudden spikes in global risk
Bacchetta, Philippe; Van Wincoop, Eric - In: Journal of international economics 89 (2013) 2, pp. 511-521
Persistent link: https://www.econbiz.de/10009719568
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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - 2011
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10011410521
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10011410546
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Political crises and risk of financial contagion in developing countries : evidence from Africa
Asongu, Simplice A. - 2011
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/10011410547
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …
Persistent link: https://www.econbiz.de/10012219891
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International financial integration through the law of one price : the role of liquidity and capital controls /
Levy Yeyati, Eduardo (contributor);  … - 2008
This paper takes advantage of the fact that some stocks trade both in domestic and international markets to characterize the degree of international financial integration. The paper argues that the cross-market premium (the ratio between the domestic and the international market price of...
Persistent link: https://www.econbiz.de/10003719146
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The determinants of corporate risk in emerging markets : an option-adjusted spreads analysis
Cavallo, Eduardo A. (contributor);  … - 2007
This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global...
Persistent link: https://www.econbiz.de/10003775823
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003808130
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EMU-related news and financial markets in the Czech Republic, Hungary, and Poland
Büttner, David; Hayo, Bernd - 2008
We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....
Persistent link: https://www.econbiz.de/10003865756
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003823970