Showing 1 - 10 of 1,103
Persistent link: https://www.econbiz.de/10001573051
Persistent link: https://www.econbiz.de/10001738796
Persistent link: https://www.econbiz.de/10002827392
We analyze global equity market co-movement during the last 25 years using a dynamic spatial model. Based on a generalized autoregressive score model, we analyze the co-movement among global, European, American, and Asian equity markets during various crises including the Asian, the financial,...
Persistent link: https://www.econbiz.de/10013245651
Persistent link: https://www.econbiz.de/10009539778
We examine the international stock market comovements between Western Europe vis-àvis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of...
Persistent link: https://www.econbiz.de/10009566417
Persistent link: https://www.econbiz.de/10003356569
Persistent link: https://www.econbiz.de/10011545444
Persistent link: https://www.econbiz.de/10011641581
Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the...
Persistent link: https://www.econbiz.de/10012469193