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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012226706
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Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets
Kočenda, Evžen; Moravcová, Michala - 2017
We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …
Persistent link: https://www.econbiz.de/10011763803
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14
to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …
Persistent link: https://www.econbiz.de/10014501248
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …
Persistent link: https://www.econbiz.de/10014501255
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What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market
Kalotychou, Elena - 2014
We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...
Persistent link: https://www.econbiz.de/10013055684
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and...
Persistent link: https://www.econbiz.de/10013019398
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Financial Market Contagion in the Asian Crisis
Goldfajn, Ilan - 2021
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market...
Persistent link: https://www.econbiz.de/10013212114
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Foreign Exchange Market Contagion in the Asian Crisis : A Regression-Based Approach
van Horen, Neeltje - 2011
timevarying indicator measuring the fragility of each economy. Additionally, we control for spillovers and common external shocks …
Persistent link: https://www.econbiz.de/10012757050
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Foreign Exchange Market Contagion in the Asian Crisis : A Regression-Based Approach
van Horen, Neeltje; Jager, Henk; Klaassen, Franc - 2011
. Additionally, we control for spillovers and common external shocks. We find evidence of contagion from Thailand to Indonesia and …
Persistent link: https://www.econbiz.de/10014115040
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Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
Kim, Hyeongwoo - 2010
We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We confirm the existence of financial contagion around the collapse of...
Persistent link: https://www.econbiz.de/10013143576