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Foreign shocks on Chilean financial markets : spillovers and comovements between bond and equity markets

Morales, Marco; Moreno, Carola; Vio, Camilo - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 35-50

Persistent link: https://www.econbiz.de/10010485823

Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets

Boateng, Ebenezer; Asafo-Adjei, Emmanuel; Gatsi, John … - In: Oeconomia Copernicana 13 (2022) 3, pp. 699-743

Persistent link: https://www.econbiz.de/10013449327

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

The asymmetric impact of macroeconomic shocks on stock returns in Turkey : a nonlinear ARDL approach

Yacouba, Kassouri; Altintas, Halil - In: Romanian journal of economic forecasting 22 (2019) 2, pp. 98-116

Persistent link: https://www.econbiz.de/10012129032

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model

Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more … sensitive to bad news indicating that negative information shock heightens market risk more than positive shock due to increased …

Persistent link: https://www.econbiz.de/10014516032