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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …
Persistent link: https://www.econbiz.de/10014295230
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Total and net-directional connectedness of cryptocurrencies during the pre- and post-COVID-19 pandemic
Le Thanh Ha; Nguyen Van Dai - In: Journal of international commerce, economics and policy 13 (2022) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10013263210
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Impacts of the US macroeconomic news on Asian stock markets
Nguyen, Do Quoc Tho; Chau Ngo - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 149-179
Persistent link: https://www.econbiz.de/10010337464
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Spillover effects of US monetary policy on banking development : evidence from the Asian region
Almahadin, Hamed Ahmad - In: Global business review 23 (2022) 1, pp. 7-19
Persistent link: https://www.econbiz.de/10012822058
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The incidence of spillover effects during the unconventional monetary policies era
Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18
unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …
Persistent link: https://www.econbiz.de/10012587787
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COVID-19 containment measures and stock market returns : an international spatial econometrics investigation
Alexakis, Christos A.; Eleftheriou, Konstantinos; … - In: Journal of behavioral and experimental finance 29 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012814226
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Economic policy uncertainty spillovers in booms and busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2017
Persistent link: https://www.econbiz.de/10011699040
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Spillover effects between exchange rates and stock prices : evidence from BRICS around the recent global financial crisis
Sui, Lu; Sun, Lijuan - In: Research in international business and finance 36 (2016), pp. 459-471
Persistent link: https://www.econbiz.de/10011594540
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Economic policy uncertainty spillovers in booms and busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...
Persistent link: https://www.econbiz.de/10011862894
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Economic policy uncertainty spillovers in booms and busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
Persistent link: https://www.econbiz.de/10012202276