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Global financial risk and market connectedness : An empirical analysis of COVOL and major financial markets
Lang, Chunlin; Xu, Danyang; Corbet, Shaen; Hu, Yang; … - In: International review of financial analysis 93 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014543425
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Network analysis of international financial markets contagion based on volatility indexes
Lin, Weinan; Ouyang, Ruolan; Zhang, Xuan; Zhuang, Chengkai - In: Finance research letters 56 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014473638
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Stability of international stock markets
Nidal Rashid Sabri - 2007
Persistent link: https://www.econbiz.de/10003451779
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Large global volatility shocks, equity markets and globalisation : 1885 - 2011
Mehl, Arnaud - 2013
Persistent link: https://www.econbiz.de/10009766418
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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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Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011
Mehl, Arnaud - 2015
I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …
Persistent link: https://www.econbiz.de/10013035639
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Financial globalization and stock market risk
Esqueda, Omar A.; Assefa, Tibebe A.; Mollick, André Varella - In: Journal of international financial markets, … 22 (2012) 1, pp. 87-102
Persistent link: https://www.econbiz.de/10009540838
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A global look into stock market comovements
Inaba, Kei-Ichiro - In: Review of world economics 156 (2020) 3, pp. 517-555
Persistent link: https://www.econbiz.de/10012433063
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The effect of US uncertainty shock on international equity markets : the role of the global financial cycle
Salisu, Afees A.; Gupta, Rangan; Adediran, Idris A. - In: Review of Economic Analysis : REA 15 (2023) 2, pp. 139-159
We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 advanced and emerging countries (besides the US). In this...
Persistent link: https://www.econbiz.de/10014310354
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International Stock Market Volatility : A Global Tail Risk Sight
Lu, Xinjie - 2023
This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility … improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime …
Persistent link: https://www.econbiz.de/10014352721