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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
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
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The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
Purpose-The purpose of this paper is to examine the transmission mechanisms and dynamic spillover effects between gold spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging effectiveness between stocks and gold in major US financial...
Persistent link: https://www.econbiz.de/10014233046
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011482859
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Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007
Ibrahim, Boulis Maher - 2014
in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using … centres. These factors are the differential in trading volume, the differential in stock price volatility and the interest … rate differential. The results are robust to different models' specifications, and indicate that the role of the USA market …
Persistent link: https://www.econbiz.de/10013045195
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The impact of financial crisis on the short-term interaction betwee Balkan stock markets
Angelovska, Julijana - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 53-66
The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural...
Persistent link: https://www.econbiz.de/10011780296
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Co-Movements between Latin American and U.S. Stock Markets : Convergence after the Financial Crisis?
Ramirez Hassan, Andres - 2014
Currently, the world is facing a continuous process of integration in di fferent aspects and fi nancial markets are no exception to this development. Despite the fact that global integration is gradual, one can fi nd some specfi c events that might help to accelerate this trend. This paper shows...
Persistent link: https://www.econbiz.de/10013062374
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011479824
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Intra-daily volatility spillovers between the US and German stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012
)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …
Persistent link: https://www.econbiz.de/10009539877
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Taiwan and U.S. Equity Market Interdependence and Contagion : Evidence from Four-Factor Model
Li, Chun An - 2019
A four-factor model is used to measure the interdependence's co-movement and crisis' contagion effect on portfolio returns of 23 Taiwanese industries during tranquil and the U.S. subprime mortgage crisis periods. By incorporating the control variables of economic and financial fundamentals, we...
Persistent link: https://www.econbiz.de/10012898290