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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Palanska, Tereza - 2018
We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the …
Persistent link: https://www.econbiz.de/10011914776
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10009748353
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of …
Persistent link: https://www.econbiz.de/10013155090
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Stock Market Interdependence, Contagion, and the U.S. Financial Crisis : The Case of Emerging and Frontier Markets
Samarakoon, Lalith P. - 2015
This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...
Persistent link: https://www.econbiz.de/10013037982
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility
Caglayan, Mustafa Onur; Gong, Yuting; Xue, Wenjun - 2022
a sample of 23 economies. The regression results show that global EPU spillovers has a positive and significant effect …-markets-generated EPU spillovers on country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging …-markets-generated EPU spillovers. Furthermore, the significant and positive effect of EPU spillovers on the country-level stock market …
Persistent link: https://www.econbiz.de/10013406077
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: Spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of …
Persistent link: https://www.econbiz.de/10013095613
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Do cryptocurrency and commodities markets affect stock market performance in South Asia? : an empirical investigation during the COVID-19 pandemic
Syed, Aamir Aijaz; Kamal, Muhammad Abdul - In: International journal of economics and business … 27 (2024) 4, pp. 673-692
Persistent link: https://www.econbiz.de/10015063301
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Commodity markets volatility transmission : roles of risk perceptions and uncertainty in financial markets
Gozgor, Giray; Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Journal of international financial markets, … 44 (2016), pp. 35-45
Persistent link: https://www.econbiz.de/10011690371
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438