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Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22

The existing literature has explained the causality flow from the exchange rates toward the stock market without … affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The … the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …

Persistent link: https://www.econbiz.de/10013545812

On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

Diebold, Francis X.; Yılmaz, Kamil - 2022

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Persistent link: https://www.econbiz.de/10013463897

Financial instability and oil price fluctuations : evidence from oil exporting developing countries

Gaies, Brahim; Guesmi, Khaled; Porcher, Thomas; … - In: European journal of comparative economics 17 (2020) 1, pp. 55-71

How financial market stability in oil exporting developing countries might be impacted by oil price fluctuations in the long term? The purpose of this paper is to answer this question. The present study is based on a sample including 35 net oil-exporting developing countries observed between...

Persistent link: https://www.econbiz.de/10012259848

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

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398