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The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,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
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Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models
Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225
January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we …Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional … determine the best hedging instrument(s). Our findings prove that CDS indices are the best hedging instruments for both Islamic …
Persistent link: https://www.econbiz.de/10013183878
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Do Instabilities in national macroeconomic factors contribute to channeling volatility spillover from the global to the Islamic equity market?
Muharam, Harjum; Najmudin, Najmudin; Mawardi, Wisnu; … - In: Comparative economic research : Central and Eastern Europe 24 (2021) 1, pp. 103-121
derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure …
Persistent link: https://www.econbiz.de/10012664825
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and … Diebold-Yilmaz, Vector Autoregressive (VAR)framework enhanced by Greenwood-Nimmo block aggregation technique, we find that …
Persistent link: https://www.econbiz.de/10014232595
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011590636
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Forecasting the market risk premium with artificial neural networks
Oikonomikou, Leoni Eleni - 2016 - Revised version: November 2015
This paper aims to forecast the Market Risk premium (MRP) in the US stock market by applying machine learning techniques, namely the Multilayer Perceptron Network (MLP), the Elman Network (EN) and the Higher Order Neural Network (HONN). Furthermore, Univariate ARMA and Exponential Smoothing...
Persistent link: https://www.econbiz.de/10011454074
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Liberalization and stock market co-movement between emerging economies
Beine, Michel; Candelon, Bertrand - 2007
In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...
Persistent link: https://www.econbiz.de/10010264238
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three …
Persistent link: https://www.econbiz.de/10010270472
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010300155