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Financial Contagion and Volatility Spillover : an exploration into Bitcoin Future and FOREX Future Markets
Tsiaras, Konstantinos - 2021
This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....
Persistent link: https://www.econbiz.de/10013228878
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Interconnectedness in the Global Financial Market
Raddant, Matthias - 2016
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. New models are needed to capture the structure of the...
Persistent link: https://www.econbiz.de/10012981839
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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
sample consists of fve prospective safe-haven assets-gold, bitcoin, the euro, the Japanese yen, and the Swiss franc-and fve … primary world stock market indices-the S&P 500, Financial Times Stock Exchange (FTSE) 100, DAX, STOXX Europe 600, and Nikkei … 225. Our fndings are useful for inves‑ tors searching for the best safe-haven assets among gold, bitcoin, and currencies …
Persistent link: https://www.econbiz.de/10014541628
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The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
Kang, Sang Hoon - 2013
This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...
Persistent link: https://www.econbiz.de/10013076925
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The Dynamics of Value Comovement Across Global Equity Markets
Gupta, Mayank - 2016
The ratio between share price and current earnings per share, the Price Earning (PE) ratio, is widely considered to be an effective gauge of under/overvaluation of a corporation's stock. Arguably, a more reliable indicator, the Cyclically-Adjusted Price Earning ratio or CAPE, can be obtained by...
Persistent link: https://www.econbiz.de/10012993759
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The Dynamics of Value Across Global Equity Markets : The Risk Contagion
Novotny, Jan - 2015
The ratio between the share price and current earnings per share, the PE ratio, is widely considered to be an effective gauge of under/overvaluation of a corporation's stock. Arguably, a more reliable indicator, the Cyclically-Adjusted Price Earning ratio or CAPE, can be obtained by replacing...
Persistent link: https://www.econbiz.de/10013025011
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Interconnectedness in the global financial market
Raddant, Matthias; Kenett, Dror Y. - 2017
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000...
Persistent link: https://www.econbiz.de/10011635363
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets
BenSaïda, Ahmed - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27
This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional...
Persistent link: https://www.econbiz.de/10014288956
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Price Contagion and Risk Spillover in the Global Commodities Market : COVID-19 Pandemic vs. Global Financial Crisis
Kamal, Md. Mostafa; Roca, Eduardo; Li, Bin; Chen, Lin; … - 2022
commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and … silver, however, continued to play their traditional role of risk transmitters in both crises – right at the beginning of the …
Persistent link: https://www.econbiz.de/10013299352
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Volatility Spillover and Contagion Effects Between Eurodollar Future and Zero Coupons Markets : Evidence From Italy
Tsiaras, Konstantinos - 2021
Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and the zero coupons of Banca Fideuram. We consider the zero coupons of Banca Fideuram ending from 2018 to 2033. By employing a bivariate DCC-GARCH model, we show significant...
Persistent link: https://www.econbiz.de/10013228283