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Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 145-155

In this paper, we investigate the spillover effect from US monetary policy to selected ASEAN stock markets by employing Markov-switching models. Based on univariate Markov-switching models, we confirm the existence of two distinct regimes for both US monetary policy and the stock markets. By...

Persistent link: https://www.econbiz.de/10010753129

Complexity of financial stress spillovers : asymmetry and interaction effects of institutional quality and foreign bank ownership

Chen, Wang; Hamori, Shigeyuki; Kinkyō, Takuji - In: The North American journal of economics and finance : a … 48 (2019), pp. 567-581

Persistent link: https://www.econbiz.de/10012120308

Spillover effect of US monetary policy to ASEAN stock markets : evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin finance journal 26 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010498752

Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 627-642

Persistent link: https://www.econbiz.de/10011333821

Spillovers among CDS indexes in the US financial sector

Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 27 (2014), pp. 104-113

Persistent link: https://www.econbiz.de/10010460893

Dynamic effects of financial spillovers on bank lending : evidence from local projection-based impulse response analysis

Chen, Wang; Hamori, Shigeyuki; Kinkyō, Takuji - In: Applied economics letters 27 (2020) 5, pp. 400-405

Persistent link: https://www.econbiz.de/10012205499

Banking sector resilience to financial spillovers

Chen, W.; Hamori, Shigeyuki; Kinkyō, Takuji - In: Applied economics letters 24 (2017) 4/6, pp. 422-426

Persistent link: https://www.econbiz.de/10011705399

On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads

Tamakoshi, Go; Hamori, Shigeyuki - In: Research in international business and finance 30 (2014), pp. 83-90

Persistent link: https://www.econbiz.de/10010390287

Volatility transmission between Japan, UK and USA in daily stock returns

Tanizaki, Hisashi; Hamori, Shigeyuki - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 27-54

Persistent link: https://www.econbiz.de/10003804532

Volatility and mean spillovers between sovereign and banking sector CDS markets : a note on the European sovereign debt crisis

Tamakoshi, Go; Hamori, Shigeyuki - In: Applied economics letters 20 (2013) 1/3, pp. 267-271

Persistent link: https://www.econbiz.de/10009702942