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Volatility Transmission and Correlation Analysis between the US and Asia : The Impact of the Global Financial Crisis
Valls, Natalia - 2011
This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock markets considering the effect of the Global Financial crisis. One Asian mature market and ten emerging markets are included in the sample. To carry out the analysis, we use a...
Persistent link: https://www.econbiz.de/10013131471
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The Effect of the European Economic News Releases to the US Financial Markets in the Crisis Period
Vortelinos, Dimitrios I. - 2019
This paper evaluates the effect of all European economic news releases to the US financial markets, for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news...
Persistent link: https://www.econbiz.de/10012902639
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Investor Overreaction in Asian and US Stock Markets : Evidence from the 2008 Financial Crisis
Tai, Yu-Nan - 2014
This study explored the effectiveness of the contrarian and momentum strategies in the United States stock market-S&P 500 and Chinese stock markets (Taiwan, Hong Kong, & Singapore) both during the 2008 financial crisis and during the pre-crisis period. Additionally, the study examined the...
Persistent link: https://www.econbiz.de/10013052434
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Investor Overreaction in Asian and US Stock Markets : Evidence from the 2008 Financial Crisis
Tai, Yu-Nan - 2014
This study explored the effectiveness of the contrarian and momentum strategies in the United States stock market-S&P 500 and Chinese stock markets (Taiwan, Hong Kong, & Singapore) both during the 2008 financial crisis and during the pre-crisis period. Additionally, the study examined the...
Persistent link: https://www.econbiz.de/10013059261
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BRIC and the U.S. Financial Crisis : An Empirical Investigation of Stocks and Bonds Markets
Bianconi, Marcelo - 2015
We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional empirical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate...
Persistent link: https://www.econbiz.de/10013037314
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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
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, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …
Persistent link: https://www.econbiz.de/10013037982
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A Case Study of a Financial Crisis : USA and Russia
Chernyatyev, Konstantin A. - 2010
The problems that caused the recession began to accumulate in the global economics (and in the U.S. economics in particular) since the early 1980's. Problems were amassing as a clod, sophistication and ingenuity of economists and development of economic thought allowed to delay and put the peak...
Persistent link: https://www.econbiz.de/10013148302
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Contagion Effects of the U.S. Subprime Crisis on International Stock Markets
Hwang, Inchang - 2010
This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC …-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets …
Persistent link: https://www.econbiz.de/10013149007
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Co-Movements between Latin American and U.S. Stock Markets : Convergence after the Financial Crisis?
Ramirez Hassan, Andres - 2014
Currently, the world is facing a continuous process of integration in di fferent aspects and fi nancial markets are no exception to this development. Despite the fact that global integration is gradual, one can fi nd some specfi c events that might help to accelerate this trend. This paper shows...
Persistent link: https://www.econbiz.de/10013062374
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Evolvement of uniformity and volatility in the stressed global financial village
Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011
In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...
Persistent link: https://www.econbiz.de/10009354737