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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Global, regional and country-specific components of financial market indicators : an extraction method and applications
Kocsis, Zalán - 2013
This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...
Persistent link: https://www.econbiz.de/10009774447
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010515402
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Investor Co-Attention and Stock Market Comovement
Symitsi, Efthymia - 2017
proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This …
Persistent link: https://www.econbiz.de/10012941907
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...
Persistent link: https://www.econbiz.de/10012486245
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Has COVID-19 changed the correlation between cryptocurrencies and stock markets?
Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156
. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … are dependent during crisis periods, but not during non-crisis periods. This confirms the time-varying correlation between …
Persistent link: https://www.econbiz.de/10014445351
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Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10013380503
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An empirical study on efficient market hypothesis : the case of Indian capital markets
Kalsie, Anjala - In: Mudra : journal of finance and accounting 1 (2014) 2, pp. 71-83
Persistent link: https://www.econbiz.de/10011285089
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Relationship between key economic variables and Indian "capital market: a primary correlation analysis"
Mohapatra, Amiya K.; Gupta, Sumeet - In: International journal of economic issues : IJEI 2 (2009) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10009130034