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International Transmission of US Monetary Policy Shocks : Are Bond and Stock Markets Different?
Ha, Jongrim - 2019
Using local projection and event studies, I investigate the non-linear effects of US monetary policy shocks on financial asset prices in five advanced economies–Australia, Canada, New Zealand, South Korea, and the United Kingdom–from 1990 to 2014. The international asset prices show evidence...
Persistent link: https://www.econbiz.de/10012863735
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Co-Movement between Equity and Bond Markets
Sakemoto, Ryuta - 2017
This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets. It reveals that both equity-bond and equity...
Persistent link: https://www.econbiz.de/10012946822
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Capital market development in CESEE and the need for further reform
Jäger-Gyovai, Krisztina - In: Financial stability report 27 (2014), pp. 74-82
Persistent link: https://www.econbiz.de/10010385393
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Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets
Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023
This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...
Persistent link: https://www.econbiz.de/10014351309
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Time-Varying Energy and Stock Market Integration in Asia
Batten, Jonathan A.; Kinateder, Harald; Szilagyi, Peter G. - 2020
The degree of integration between energy and stock markets is critical for the diversification and risk management decisions of global corporations and investors alike. We investigate the integration relation between ten major Asian stock markets and a diversified energy portfolio that comprises...
Persistent link: https://www.econbiz.de/10014352389
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Contagion Effects and Volatility Impulse Responses between US and Asian Stock Markets
Kang, Sang Hoon - 2018
In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong, Japan, Korea, Singapore, and Taiwan — using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse...
Persistent link: https://www.econbiz.de/10012931900
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Characterizing Co-Movements between Indian and Emerging Asian Equity Markets Through Wavelet Multi-Scale Analysis
M., Aasif - 2016
Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale...
Persistent link: https://www.econbiz.de/10013004332
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Regional and Inter-Regional Financial Integration : ASEM Equity Markets
Jaccob, Dina - 2014
The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional … in EU and Asia, and to investigate whether such integration has changed after the Asian financial crisis in 1997-99 and … of financial integration, and presents an empirical study on regional integration by testing ASEM EU and ASEM Asia …
Persistent link: https://www.econbiz.de/10013049408
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Characterizing co-movements between indian and emerging asian equity markets through wavelet multi-scale analysis
Shah, Aasif; Deo, Malabika; King, Wayne - In: Journal of East Asian economic integration 19 (2015) 2, pp. 189-220
Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale...
Persistent link: https://www.econbiz.de/10011572863
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Time Varying Asian Stock Market Integration
Batten, Jonathan A. - 2013
We employ an asset pricing framework to show that over the last twenty years there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is generally consistent with prior studies and highlights the impact of...
Persistent link: https://www.econbiz.de/10013075848