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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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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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Extreme-Downside-Risk Spillover from the United States and Japan to Asian-Pacific Stock Markets
Liu, Lu - 2018
This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below...
Persistent link: https://www.econbiz.de/10012940445
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The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets
Kim, Suk-Joong - 2009
This paper examines the spillover effects of the U.S. Fed's and the European Central Bank (ECB)'s target interest rate news on the market returns and return volatilities of twelve stock markets in the Asia-Pacific region over the period 1999-2006. The news spillover effects on the returns are...
Persistent link: https://www.econbiz.de/10013156252
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The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries : Empirical Evidence for the United States and Canada
Switzer, Lorne N. - 2011
This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...
Persistent link: https://www.econbiz.de/10013119888
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Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)
Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global … financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the …
Persistent link: https://www.econbiz.de/10013164975
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Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]
Becke, Susanne von der; Sornette, Didier - 2011
Persistent link: https://www.econbiz.de/10009561750
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Time-Varying and Spatial Herding Behavior in the U.S. Housing Market : Evidence from Direct Housing Prices
Ngene, Geoffrey - 2017
This paper investigates herding behavior in the US residential housing market. The sample period is 1975M01 to 2015M06 … of housing return dispersions and investors' herding behavior. The study find that the degree of herding varies across …
Persistent link: https://www.econbiz.de/10012959788
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Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)
Zhang, Hang; Giouvris, Evangelos - 2023
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global … financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the …
Persistent link: https://www.econbiz.de/10014262090
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The dynamic factor network model with an application to global credit-risk
Bräuning, Falk; Koopman, Siem Jan - 2016
We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the high-dimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors....
Persistent link: https://www.econbiz.de/10011566388