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demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …
Persistent link: https://www.econbiz.de/10012867250
This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends … market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the …
Persistent link: https://www.econbiz.de/10013106847
volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …
Persistent link: https://www.econbiz.de/10014255189
This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …
Persistent link: https://www.econbiz.de/10011937175
spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging … literature that gold exhibits the main requirements to qualify as a risk-mitigating instrument against changes in stock prices …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …
Persistent link: https://www.econbiz.de/10014233046
. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …
Persistent link: https://www.econbiz.de/10014502815
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results …
Persistent link: https://www.econbiz.de/10012309325
oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the … stock markets in ten important countries and Brent oil market, we estimate the downward and upward risk spillovers from oil … to stock markets. The empirical results suggest strong evidence of risk spillover effects from oil to stock markets …
Persistent link: https://www.econbiz.de/10014256552
. Finally, hedging effectiveness is lower in the long term than in the short term during the oil crisis in 2015-2016 and the US …
Persistent link: https://www.econbiz.de/10014305868
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511