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Did real economic uncertainty drive risk connectedness in the oil-stock nexus during the COVID-19 outbreak? : A partial wavelet coherence analysis
Al-Shboul, Mohammad; Maghyereh, Aktham I. - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-23
This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …
Persistent link: https://www.econbiz.de/10014497264
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …
Persistent link: https://www.econbiz.de/10013061742
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Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns : Evidence from Density Forecast Comparison
Bao, Yong - 2016
We investigate predictive abilities of nonlinear models for stock returns when density forecasts are evaluated and compared instead of the conditional mean point forecasts. The aim of this paper is to show whether the in-sample evidence of strong nonlinearity in mean may be exploited for...
Persistent link: https://www.econbiz.de/10012998081
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Do markets cointegrate after financial crisis? : evidence from G-20 stock markets
Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 557-586
The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the...
Persistent link: https://www.econbiz.de/10011408937
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Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19 : An Application Based on the TVP-VAR Extended Joint Connectedness Approach
Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021
We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 and 2021. Following the work of Balcilar et al. (2021), we utilise the TVP-VAR extended joint connectedness method and compare results to the standard TVP-VAR method that...
Persistent link: https://www.econbiz.de/10013211886
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Stock Markets Reactions to Economic and Financial Policies during COVID-19 : An International Evidence from Advanced and Emerging Economies
Alaoui Mdaghri, Anas; Raghibi, Abdessamad - 2022
This study is the first attempt to investigate stock market returns and liquidity reactions to the announcements of … negative effect on market liquidity. The impacts appeared to be heterogenous across countries income groups. Particularly …, stock market returns and liquidity in advanced economies reacted strongly to the implemented measures compared to emerging …
Persistent link: https://www.econbiz.de/10013491980
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The Composition Matters : Capital Inflows and Liquidity Crunch During a Global Economic Crisis
Tong, Hui - 2011
alleviates the liquidity constraint …
Persistent link: https://www.econbiz.de/10013133365
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Capital Markets, COVID-19 and Policy Measures
ElFayoumi, Khalid - 2020
flows, market-implied sovereign risk, and stock prices. We find that these factors played an important role, particularly …
Persistent link: https://www.econbiz.de/10012825617
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Is Depressed Wealth Effect of Liquidity a Priced Risk Factor? Evidence From Developed and Emerging Markets
Saeed, Dr. Sadia; Shafique, Dr. Saima; Akhtar, Dr. Shehla; … - 2020
The current study attempts to investigate that the depressed wealth effect of liquidity risk is priced in developed and … depresse wealth risk is sensitive to liquidity measures used in the study. So investors should give practical value to … emerging markets or not. Multiple liquidity measures including Amivest liquidity, market efficiency coefficient, Roll estimator …
Persistent link: https://www.econbiz.de/10014349097
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An Investigation of Return and Volatility Linkages Among Stock Markets : A Study of Emerging Asian and Selected Developed Countries
Bhowmik, Roni - 2019
volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of …
Persistent link: https://www.econbiz.de/10012895619