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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated...
Persistent link: https://www.econbiz.de/10014295230
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Market integration and volatility spillover across major East Asian stock and Bitcoin markets : an empirical assessment
Zeng, Hongjun; Ahmed, Abdullahi Dahir - In: International journal of managerial finance : IJMF 19 (2023) 4, pp. 772-802
Persistent link: https://www.econbiz.de/10014326092
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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets
Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243
Persistent link: https://www.econbiz.de/10014232428
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Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Hanif, Waqas; Areola Hernandez, Jose; Troster, Victor; … - In: Pacific-Basin finance journal 74 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013389474
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Asymmetric dynamic spillover effect between cryptocurrency and China's financial market : evidence from TVP-VAR based connectedness approach
Cao, Guangxi; Xie, Wenhao - In: Finance research letters 49 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013478628
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High-frequency return and volatility spillovers among cryptocurrencies
Sensoy, Ahmet; Christiano, Thiago; Corbet, Shaen; … - 2022
We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them …
Persistent link: https://www.econbiz.de/10014351641
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Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets
Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177
Persistent link: https://www.econbiz.de/10011348426
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
(Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from …
Persistent link: https://www.econbiz.de/10011296721
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Spillover effects between stock prices and exchange rates for the Central and Eastern European countries
Ngo Thai Hung - In: Global business review 23 (2022) 2, pp. 259-286
Persistent link: https://www.econbiz.de/10013256834
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Information linkages among emerging equity markets : an empirical study
Sehgal, Sanjay; Jain, Payal - In: Decision 44 (2017) 1, pp. 15-38
Persistent link: https://www.econbiz.de/10011703060