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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
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10010490457
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Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011597973
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Stock Markets, Banks and Economic Growth : Some Evidence on the Role of Stock Price Informativeness
Cheng, Fang Chin - 2011
This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013121128
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Stock Price Informativeness and Output Growth : Some Evidence from Emerging Economies
Cheng, Fang Chin - 2013
This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013084065
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Stock Price Informativeness, Analyst Coverage and Economic Growth : Evidence from Emerging Markets
Cheng, Fang Chin - 2013
This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013088911
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Stock Price Informativeness, Analyst Coverage and Economic Growth : Evidence from Emerging Markets
Cheng, Fang Chin - 2013
This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013090426
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Stock Price Informativeness and Output Growth : Some Evidence from Emerging Economies
Cheng, Fang Chin - 2015
This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013017471
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Stock Bubble Survival, Domestic and Exogenous Factors : A Cross-Country Analysis
Adesanya, Oladunni - 2018
This paper explores whether domestic and exogenous factors play a role in explaining how long stock bubbles survives across countries. We use a panel of countries to model the probability of stock bubbles persisting using survival analysis procedure. We document that domestic and exogenous...
Persistent link: https://www.econbiz.de/10012931869
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Stock Price Informativeness and Output Growth : Some Evidence from Emerging Economies
Cheng, Fang Chin - 2013
This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...
Persistent link: https://www.econbiz.de/10013077682
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 - 2013. The econometric analysis is based on the...
Persistent link: https://www.econbiz.de/10010383808