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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study

Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...

Persistent link: https://www.econbiz.de/10012505328

Volatility spillover between Germany, France, and CEE stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...

Persistent link: https://www.econbiz.de/10013500945

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 crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility

Caglayan, Mustafa Onur; Gong, Yuting; Xue, Wenjun - 2022

Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show...

Persistent link: https://www.econbiz.de/10013406077

Regime-Switching in Emerging Stock Market Returns

Assoe, Kodjovi - 2016

Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the...

Persistent link: https://www.econbiz.de/10013004218

Global Financial Crisis and Emerging Stock Market Contagion : A Multivariate FIAPARCH-DCC Approach

Dimitriou, Dimitrios I. - 2013

This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally … economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early … show a pattern of contagion for all BRICSs' markets that could be attributed to their common trade and financial …

Persistent link: https://www.econbiz.de/10013080540

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

Dynamic connectedness and volatility spillover effects of Indian stock market with international stock markets : an empirical investigation using DCC GARCH

Sainath, A. R.; Gnanendra, M.; Mohanasundaram, T.; … - In: Scientific papers of the University of Pardubice 31 (2023) 1, pp. 1-10

, suggesting the presence of contagion effects. Additionally, we find bidirectional spillover between the Indian stock market and …

Persistent link: https://www.econbiz.de/10014442259

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