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the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean … of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility … volatility of the US soybean futures market. In addition, while the release of multiple tariff increases has had a short …
Persistent link: https://www.econbiz.de/10014383294
The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …
Persistent link: https://www.econbiz.de/10011520514
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
volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature …, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the …
Persistent link: https://www.econbiz.de/10011499355
Several unique insights are documented based on a study of copper futures contracts traded in the U.S. and China. Based on our unique measures, we present evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese...
Persistent link: https://www.econbiz.de/10014352078
We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...
Persistent link: https://www.econbiz.de/10012846915
asymmetrical between market upturns and downturns and that stock returns exhibit positive autocorrelation at a low volatility level … and negative autocorrelation at a high volatility level. This finding is attributed to wealth-related variation in … investors' risk aversion level and to market segmentation in Chinese stock markets. In addition, we examine the impact of …
Persistent link: https://www.econbiz.de/10012927894
In this paper, we use a Time-Varying Conditional Copula approach (TVCC) to model Chinese and U.S. stock markets, dependence structures with other financial markets. The AR-GARCH-t model is used to examine the marginals, while Normal and Generalized Joe-Clayton copula models are employed to...
Persistent link: https://www.econbiz.de/10014213182
Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …
Persistent link: https://www.econbiz.de/10011296721
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility …
Persistent link: https://www.econbiz.de/10012388066