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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …
Persistent link: https://www.econbiz.de/10010754852
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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …
Persistent link: https://www.econbiz.de/10010816696
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Impacts of Stockholding Behaviour on Agricultural Market Volatility: A Dynamic Computable General Equilibrium Approach
Femenia, Fabienne - In: Journal of International Agricultural Trade and Development 59 (2010) 3
large number of previous studies focus on the effect of stockholding on price volatility due to exogenous shocks and assume …
Persistent link: https://www.econbiz.de/10011143137
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On the links between stock and commodity markets' volatility
Joëts, Marc; Mignon, Valérie; Creti, Anna - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010992390
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Volatility and Its Persistence in Indian Stock Market: A Case Study of 30 SCRIPS
Mohanty, Pravir Kumar; Kamaiah, B - Institute for Social and Economic Change (ISEC) - 2000
show that the variance of returns varies over time and that the ARCH and GARCH models capture the volatility persistence. …
Persistent link: https://www.econbiz.de/10010854988
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STUDIES ON FINANCIAL MARKETS IN EAST ASIA
Susai, Masayuki (contributor); Uchida, Shigeru (contributor) - World Scientific Publishing Co. Pte. Ltd.
This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...
Persistent link: https://www.econbiz.de/10010883054
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Modeling the Impact of News on volatility: The Case of Iran
Mehrara, Mohsen; Abdoli, Ghahreman - In: Iranian Economic Review 10 (2005) 1, pp. 65-83
compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to …
Persistent link: https://www.econbiz.de/10010928028