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Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Financial Market Spillovers in Transition Economies

Gelos, Gaston; Sahay, Ratna - 2001

This paper examines financial market comovements across European transition economies and compares their experience to that of other regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals....

Persistent link: https://www.econbiz.de/10014159755

The transmission of emerging market shocks to global equity markets

Cuadro-Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - In: Journal of empirical finance 16 (2009) 1, pp. 2-17

Persistent link: https://www.econbiz.de/10003800129

International Financial Transmission : Emerging and Mature Markets

Felices, Guillermo - 2009

important contagion channel through which crises in emerging market economies can affect mature markets. Forecast error variance …

Persistent link: https://www.econbiz.de/10013156817

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10013317648

Emerging Markets and Financial Crises : Regional, Global or Isolated Shocks?

Kenourgios, Dimitris - 2012

This paper investigates financial contagion of three emerging market crises of the late 1990s, as well as the subprime … the global impact of the Russian default, the contagion effects of the subprime crisis, the regional aspect of the Asian …

Persistent link: https://www.econbiz.de/10013111936

The Long Memory of Equity Volatility and the Macroeconomy : International Evidence

Dräger, Lena - 2020

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

Persistent link: https://www.econbiz.de/10012853413

Contagion and Interdependence : Measuring CEE Banking Sector Co-Movements

Jokipii, Terhi - 2018

largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to …

Persistent link: https://www.econbiz.de/10012934707

Financial Liberalization and Business Cycles : The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2016

Persistent link: https://www.econbiz.de/10012991348

Financial Liberalization and Business Cycles : The Experience of New EU Member States in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European new Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of "emerging...

Persistent link: https://www.econbiz.de/10014072529

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