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Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? : evidence from the global financial crisis and Covid-19 pande...

Yousaf, Imran; Beljid, Makram; Chaibi, Anis; Ajlouni, … - In: Pacific-Basin finance journal 73 (2022), pp. 1-45

Persistent link: https://www.econbiz.de/10013388961

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

US stock returns and oil prices : the tale from daily data and the 2008 - 2009 financial crisis

Mollick, André Varella; Assefa, Tibebe Abebe - In: Energy economics 36 (2013), pp. 1-18

Persistent link: https://www.econbiz.de/10009724771

Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks

Hammoudeh, Shawkat; Yuan, Yuan; Chiang, Thomas C.; … - In: Energy policy 38 (2010) 8, pp. 3922-3932

Persistent link: https://www.econbiz.de/10008654628

Volatility, information and stock market crashes

Antonakakis, Nikolaos; Scharler, Johann - 2009

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. -- stock market crash ; volatility ; Markov Switching …

Persistent link: https://www.econbiz.de/10009239699

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...