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Contagion in futures metal markets during the recent global financial crisis : evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos - In: Spoudai : journal of economics and business 70 (2020) 3/4, pp. 42-55
metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized …'s point of view and implying the portfolio strategies difficult to apply. Additionally, Zinc is proved to be the most immune …
Persistent link: https://www.econbiz.de/10012427825
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Forex and Equity Markets Spillover Effects Among USA, Brazil, Italy, Germany and Canada in the Aftermath of the Global Financial Crisis
Tsiaras, Konstantinos; Simos, Theodore - 2021
In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The...
Persistent link: https://www.econbiz.de/10013228332
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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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Is Gold a Safe Haven? International Evidence Revisited
Bulut, Levent - 2019
The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in … this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing …-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for strong safe …
Persistent link: https://www.econbiz.de/10012891477
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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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Is Gold a Safe Haven? International Evidence
Baur, Dirk G. - 2009
The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold … sample spanning a 30 year period from 1979-2009 shows that gold is both a hedge and a safe haven for major European stock … distinguish between a weak and strong form of the safe haven and argue that gold may act as a stabilizing force for the financial …
Persistent link: https://www.econbiz.de/10013153407
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International Equity Diversification : Small-Cap Versus Small-Market Effects
Lin, Wenling - 2011
Increasing correlation among international equity markets has prompted investors to seek new investment opportunities. To shed light on this issue for U.S. investors, this paper measures economic benefits of international equity diversification using mean-variance and higher-moments frameworks...
Persistent link: https://www.econbiz.de/10013131393
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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
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Volatility Transmission Across Equity Markets : Did the Relationships Hold During the Global Financial Crisis?
Asaturov, Konstantin - 2014
Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets. This paper seeks to examine in a broader sense the linkages between developed and emerging financial markets. More specifically, we examine the relationship between two greatest...
Persistent link: https://www.econbiz.de/10013058952
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COVID19 outbreak impact on international stock markets colatility contagion
Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200
We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...
Persistent link: https://www.econbiz.de/10015338449