. The current study examines the co-movement of stock markets in BRICS (Brazil, Russia, India, China and South Africa …) countries and the United States of America (US). It unfolds their exposure to contagion effects during the major financial … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market …

The present study aims to investigate the volatility spillover effects in the international financial markets before … Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY … methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover …

A four-factor model is used to measure the interdependence's co-movement and crisis' contagion effect on portfolio …,” and “domestic” factors. Additionally, in the subprime mortgage crisis period, the contagion effect of Taiwan's industrial …'s industrial portfolio returns channel is significantly impacted by the instrument variables of interest rate, trade integration …

larger than before the crisis, indicating substantial volatility contagion effects. -- Conditional autoregressive Wishart …)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …