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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the …

Persistent link: https://www.econbiz.de/10011914776

Global political ties and the global financial cycle

Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - Leibniz-Institut für Wirtschaftsforschung Halle - 2023

We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various...

Persistent link: https://www.econbiz.de/10014451331

Global political ties and the global financial cycle

Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - 2024 - This Version: December 20, 2023

Persistent link: https://www.econbiz.de/10014448309

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

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

a sample of 23 economies. The regression results show that global EPU spillovers has a positive and significant effect …-markets-generated EPU spillovers on country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging …-markets-generated EPU spillovers. Furthermore, the significant and positive effect of EPU spillovers on the country-level stock market …

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

On the impacts of oil price fluctuations on European equity markets : volatility spillover and hedging effectiveness

Arouri, Mohamed; Jouini, Jamel; Nguyen, Duc Khuong - In: Energy economics 34 (2012) 2, pp. 611-617

Persistent link: https://www.econbiz.de/10009618672

Volatility spillovers between oil prices and stock returns : a focus on frontier markets

Gomes, Mathieu; Chaibi, Anissa - In: The journal of applied business research 30 (2014) 2, pp. 509-525

Persistent link: https://www.econbiz.de/10010353528

Shock and volatility spillovers between oil prices and Turkish sector returns

Gencer, Hatice Gaye; Demiralay, Sercan - In: International journal of economics and finance 6 (2014) 2, pp. 174-180

Persistent link: https://www.econbiz.de/10010257642

Oil price fluctuation, volatility spillover and the Ghanaian equity market : implication for portfolio management and hedging effectiveness

Lin, Boqiang; Wesseh, Presley K.; Owusu Appiah, Michael - In: Energy economics 42 (2014), pp. 172-182

Persistent link: https://www.econbiz.de/10010502950

Oil prices, stock market returns, and volatility spillovers : evidence from Saudi Arabia

Cevik, Emrah Ismail; Dibooglu, Sel; Abdallah, Atif Awad; … - In: International economics and economic policy 18 (2021) 1, pp. 157-175

Persistent link: https://www.econbiz.de/10012499759

Extreme dependence and risk spillovers between oil and Islamic stock markets

Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Emerging markets review 34 (2018), pp. 42-63

Persistent link: https://www.econbiz.de/10012114666

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