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International stock market co-movements following US financial globalization
Huang, Chai-liang - In: International review of economics & finance : IREF 69 (2020), pp. 788-814
Persistent link: https://www.econbiz.de/10012487453
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Did globalization kill contagion?
Accominotti, Olivier; Brière, Marie; Burietz, Aurore; … - 2020 - This revision 08 February 2020
Persistent link: https://www.econbiz.de/10012207546
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Global pandemic crisis and risk contagion in GCC stock markets
Cheikh, Nidhaleddine Ben; Zaied, Younes Ben; Saidi, Sana; … - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 746-761
Persistent link: https://www.econbiz.de/10013552463
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Global equity market leadership positions through implied volatility measures
Parhizgari, Ali M.; Chaiyuth Padungsaksawasdi - In: Journal of empirical finance 61 (2021), pp. 180-205
Persistent link: https://www.econbiz.de/10012693257
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10013169023
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022 - This version: February 14, 2022
Persistent link: https://www.econbiz.de/10012888494
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce; Schrimpf, Andreas; … - 2023
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10014292801
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadati, Bruce; Schrimpf, Andreas; … - 2023
Persistent link: https://www.econbiz.de/10014328833
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Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility
Caglayan, Mustafa Onur; Gong, Yuting; Xue, Wenjun - 2022
for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across …Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed …
Persistent link: https://www.econbiz.de/10013406077
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Handbook of global financial markets : transformations, dependence, and risk spillovers
Boubaker, Sabri (ed.); Nguyen, Duc Khuong (ed.) - 2019
Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address …. ch. 7. Macroeconomic News and exchange rate volatility: evidence of unstable effect ; ch. 8. Currency spillover effects … contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of …
Persistent link: https://www.econbiz.de/10012643533