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Survey of volatility and spillovers on financial markets

Kočenda, Evžen - 2017

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...

Persistent link: https://www.econbiz.de/10011598902

Volatility transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets

Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758

By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets. Following the framework of Diebold and Yilmaz...

Persistent link: https://www.econbiz.de/10014308844

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

as contagion from BRIC markets’ shocks to advanced economies’ markets. …

Persistent link: https://www.econbiz.de/10012794261

Rational Herd Behavior and the Globalization of Securities Markets

Calvo, Guillermo; Mendoza, Enrique G. - 1998

This paper shows that globalization of securities markets exacerbates the volatility of capital flows by strengthening incentives for herding behavior. This is a prediction of a mean-variance portfolio optimization model with imperfect information, in which investors acquire country-specific...

Persistent link: https://www.econbiz.de/10014217255

Asset Markets Contagion During the Global Financial Crisis

Kenourgios, Dimitris - 2017

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets … exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric … correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond …

Persistent link: https://www.econbiz.de/10012971584

Globalization, Financial Crisis and Contagion : Time-Dynamic Evidence from Financial Markets of Developing Countries

Asongu, Simplice - 2015

examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …

Persistent link: https://www.econbiz.de/10013032610

Financial Globalisation and Monetary Independence

Disyatat, Piti - 2016

Has financial globalisation compromised central banks' ability to manage domestic financial conditions? This paper summarises the results from our recent research, which tackles this question from the bond market perspective for both advanced and emerging market economies. Using an asset pricing...

Persistent link: https://www.econbiz.de/10012980219

Beyond International Standards : Mapping the Future of Capital Markets Regulation

Jordan, Cally - 2018

As a response to multiple financial shocks, international standards have disappointed. Consensus-seeking has stifled innovation, perpetuating outdated regulatory concepts at a time of rapid market change. Different forces are at work now. Markets are complex and idiosyncratic; they may not be...

Persistent link: https://www.econbiz.de/10012910271

The New Internationalism? IOSCO, International Standards and Capital Markets Regulation

Jordan, Cally - 2018

Persistent link: https://www.econbiz.de/10012910334

Capital Market Openness After Financial Turmoil

Ferran, Eilis - 2011

After a brief period during the financial crisis when countries appeared to be lurching towards economic nationalism, the international community has reaffirmed its commitment to open markets that are regulated in balanced ways that promote innovation while discouraging abuse. Hence, it remains...

Persistent link: https://www.econbiz.de/10013134532