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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

Precious metal markets, stock markets and the macroeconomic environment : FAVAR model approach

Apergēs, Nikolaos; Christou, Christina; Payne, James E. - In: Applied financial economics 24 (2014) 10/12, pp. 691-703

Persistent link: https://www.econbiz.de/10010402658

Return distributions and volatility forecasting in metal futures markets : evidence from gold, silver, and copper

Khalifa, Ahmed A. A.; Miao, Hong; Ramchander, Sanjay - In: The journal of futures markets 31 (2011) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10008908411

Does monetary policy impact market integration? : evidence from developed and emerging markets

Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017

This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...

Persistent link: https://www.econbiz.de/10011874674

The Transmission of Foreign Financial Crises to South Africa : A Firm-Level Study

Boshoff, Willem H. - 2010

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South...

Persistent link: https://www.econbiz.de/10013146396

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

Effects of Financial Crises on Contagion in Currency Markets

Rigana, Katerina; Wit, Ernst C.; Cook, Samantha - 2022

Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them lack a causal interpretation. We will present a new...

Persistent link: https://www.econbiz.de/10013309120

Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches

Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25

index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to …

Persistent link: https://www.econbiz.de/10013389437

Crude oil price shocks and stock returns : evidence from Turkish stock market under global liquidity conditions

Berk, Istemi; Aydogan, Berna - 2012

The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (VAR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE-100) returns for the...

Persistent link: https://www.econbiz.de/10009743922

Gold and silver as safe havens : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since …

Persistent link: https://www.econbiz.de/10013445596

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