This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock...

Background: This study examined the volatility spillover effects between the stock markets of Asian countries, i.e., Pakistan, India, Sri Lanka, China, Japan, and Hong Kong. Methods: The daily data was considered from the period 4 January 1999 to 1 January 2014, consisting five trading days from...

This study attempts to investigate the evolution of dynamic linkages and volatility spillover between the five countries of the Association of Southeast Asian Nations (ASEAN-5) stock markets and China's economic activities. By using the movements and structural breaks of the time-varying...

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...

The announcement made by the Fed Chairman, Ben Bernanke, on May 22, 2013 regarding the reduction of the quantitative easing programme that took by storm the financial markets determined the significant volatility increase of the US markets and it was not limited to it. The financial markets in...

This study made a pioneering attempt to investigate volatility spillover from G5 countries stock markets to Karachi Stock Exchange (KSE) considering weekly data from 5th January, 2004 to 30th December, 2013. The G5 countries included in this study are France, Germany, Japan, UK and US. Johansen...

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the...

An increase in the return of an asset in the financial markets may cause the returns of the remaining assets to fluctuate over time because of the arbitrage conditions. This may also create a spillover or contagion between the volatilities of the assets in the financial markets. This study aimed...