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Contagion testing in embryonic markets under alternative stressful US market scenarios

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012156543

Did Baltic stock markets offer diversification benefits during the recent financial turmoil? : novel evidence from a nonparametric causality-in-quantiles test

Babalos, Vassilios; Balcilar, Mehmet; Loate, Tumisang B.; … - In: Empirica : journal of european economics 45 (2018) 1, pp. 29-47

Persistent link: https://www.econbiz.de/10011965787

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Detecting financial contagion using a new nonparametric measure of asymmetric comovements

Zhang, Feipeng; Xu, Yixiong; Yuan, Di - In: International review of economics & finance : IREF 89 (2024) 1, pp. 284-296

Persistent link: https://www.econbiz.de/10014446438

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449345

Detecting Financial Contagion Using a New Nonparametric Measure of Asymmetric Comovements

Zhang, Feipeng; Xu, Yixiong; Yuan, Di - 2022

This article proposes a new nonparametric test to detect financial contagion by using a Kendall's tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance and good power in finite sample of our test. An empirical...

Persistent link: https://www.econbiz.de/10014236336

Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? : evidence using a bivariate analysis

Wang, Kuan Min; Lai, Hung-Cheng - In: Panoeconomicus 60 (2013) 4, pp. 473-497

Persistent link: https://www.econbiz.de/10010341062

Stock market, real estate market, and economic growth : an ARDL approach

Nguyen Thi My-Linh; Bui Ngoc Toan - In: Investment management and financial innovations 16 (2019) 4, pp. 290-302

Persistent link: https://www.econbiz.de/10012177696

Foreign Investors and Stock Price Crash Risk Behavior in Vietnam Stock Market

Vo, Xuan Vinh - 2018

Examining stock price crash risk in emerging economies is important since emerging equity markets are characterized by excessive volatility and weak corporate governance. This paper investigates the relationship between foreign ownership and crash risk using a data sample of firms listed on the...

Persistent link: https://www.econbiz.de/10012913815

Tail Contagion : Were Vietnam and China Stock Markets Out of the US Mortgage Crisis?

Nguyen, Cuong Cao - 2016

empirically examine the tail dependence between the U.S. stock market and stock markets in Vietnam and China in order to test … after the crisis suggesting no change in dependence structure but stronger left tail dependence between the U.S. and Vietnam … stock markets. Thus, the US and Vietnam stock markets are more prone to crashing than booming together. Between the U.S. and …

Persistent link: https://www.econbiz.de/10013003938

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