Showing 1 - 10 of 4,657
Persistent link: https://www.econbiz.de/10013168582
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …
Persistent link: https://www.econbiz.de/10010298351
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
Persistent link: https://www.econbiz.de/10011696646
Investor confidence is a necessary condition for the development of emerging markets. Investors recognize that since market-oriented reform policies may be reversed or hindered, they face the risk of ex post policy changes with redistributive impact on investment returns. We argue that a...
Persistent link: https://www.econbiz.de/10011608862
States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …
Persistent link: https://www.econbiz.de/10010295650
Since 1997 the Hong Kong (HK) government has markedly changed its role from being a mere institution provider to being an active innovation promoter. As such, it has actively implemented innovation policies that focus especially on creating new funding opportunities and establishing several R&D...
Persistent link: https://www.econbiz.de/10010263517
This paper analyses academia-industry linkages of the Hong Kong (HK) electronics small- and medium-sized enterprises (SMEs) and investigates the role of active innovation policies in this regard. It uses data collected from a questionnaire survey in HK, focusing on three main academia-industry...
Persistent link: https://www.econbiz.de/10010275672
This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...
Persistent link: https://www.econbiz.de/10010326340
The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric … evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News … impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock …
Persistent link: https://www.econbiz.de/10010321644