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Structural Breaks in Volatility Spillovers between International Financial Markets : Contagion or Mere Interdependence?
Maderitsch, Robert - 2015
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous...
Persistent link: https://www.econbiz.de/10013033228
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Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011597965
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...
Persistent link: https://www.econbiz.de/10012893224
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Spillovers between Twitter Uncertainty Indexes and sector indexes : evidence from the US
El Khoury, Rim; Alshater, Muneer Maher - In: Borsa Istanbul Review 22 (2022) 5, pp. 961-974
The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...
Persistent link: https://www.econbiz.de/10013426712
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Intraday Herding on Cross-Listed Stocks ─ Spillover and Abnormal Return
Lai, Rose Neng - 2015
levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai …, Shenzhen and Hong Kong markets, our finding suggests cross market information spillover in herding formation. More importantly …, abnormal return can be obtained through herding in some industries and firm sizes. This is important for participants in these …
Persistent link: https://www.econbiz.de/10013015897
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Spillover and Profitability of Intraday Herding on Cross-listed Stocks
Lai, Rose Neng - 2019
herding formation and abnormal returns in cross-listed stocks in China's Shanghai, Shenzhen and Hong Kong markets. More … importantly, we find that investors can make excess returns upon observing herding by buying and holding Hong Kong's small and …
Persistent link: https://www.econbiz.de/10012864739
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Analyzing the Structural Breaks and the Exchange Market Turbulence on Volatility Spillovers Between Exchange Rates and Tehran Stock Exchange
Gholizadeh, Mohammadmehdi; Erfani, Alireza - 2021
This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...
Persistent link: https://www.econbiz.de/10013250208
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Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries
Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38
Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...
Persistent link: https://www.econbiz.de/10014500629
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Risk Premium Spillovers Among Stock Markets : Evidence from Higher-Order Moments
Finta, Marinela Adriana - 2018
This paper investigates the volatility, skewness and kurtosis risk premium spillovers among U.S., U.K., German and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress and after 2014,...
Persistent link: https://www.econbiz.de/10012926595
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10012954361