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World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
Bali, Turan G. - 2012
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …
Persistent link: https://www.econbiz.de/10013116715
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10010490457
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on … rate risk pricing, herding behavior, term structure and the interest rate. The estimated results based on both the ordinary … least squares (OLS) and generalized least squares (GLS) estimation techniques confirm that exchange rate risk in the …
Persistent link: https://www.econbiz.de/10013072274
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S....
Persistent link: https://www.econbiz.de/10011482691
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Stock market comovements in central Europe : evidence from Asymmetric DCC Model
Gjika, Dritan; Horváth, Roman - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...
Persistent link: https://www.econbiz.de/10009615081
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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What drives US stock markets during the COVID-19 pandemic? : a global sensitivity analysis
Ahmed, Walid M. A. - In: Borsa Istanbul Review 22 (2022) 5, pp. 939-960
This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...
Persistent link: https://www.econbiz.de/10013426711
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The Dynamics of International Asset Price Linkages and Their Effects on German Stock and Bond Markets
Domanski, Dietrich - 2009
markets worldwide. This reflected, first, a general reassessment of credit risk, and, second, a drying-up of liquidity even in … changes, challenging portfolio allocation and risk management strategies which rely on constant historical comovements of …
Persistent link: https://www.econbiz.de/10013157688