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The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …

Persistent link: https://www.econbiz.de/10014233046

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24

Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...

Persistent link: https://www.econbiz.de/10011808239

In Search of Market Index Leaders: Evidence from World Financial Markets

Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008

Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices …

Persistent link: https://www.econbiz.de/10005621659

Has 1997 Asian Crisis increased Information Flows between International Markets?

Climent, Francisco J.; Meneu, Vicente - Asociación Española de Economía y Finanzas … - 2001

The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the...

Persistent link: https://www.econbiz.de/10008493820

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011590636

Emerging Asia: Decoupling or Recoupling

Kim, Soyoung; Lee, Jong-Wha; Park, Cyn-Young - 2009

global levels. Then, by employing a panel vector autoregression (VAR) model, we estimate the degree of real economic …

Persistent link: https://www.econbiz.de/10010507472

EFFECTS OF SINGLE MONETARY POLICY ON THE SELECTED ECONOMIC AND MONETARY UNION COUNTRIES. CASE OF SO-CALLED "PIIGS" COUNTRIES

BARTOKOVA, Ludmila - In: Journal of Applied Economic Sciences Quarterly VII (2012) 4, pp. 351-360

Monetary policy represents one of the most important policies of each country's policy mix. Understanding how monetary policy works and affects real economy is essential in understanding how changes in the settings of monetary instruments such as interest rate increase or decrease will affect...

Persistent link: https://www.econbiz.de/10010897983

EFFECTS OF FDI IN THE EUROPEAN TRANSITION ECONOMIES

ÏURÈOVÁ, Júlia; MIRDALA, Rajmund - In: Journal of Applied Research in Finance Bi-Annually III (2011) 1, pp. 27-37

Republic, Slovakia, Slovenia, Romania, Bulgaria, Estonia, Latvia and Lithuania). The analysis shall be done through the VAR … form VAR residuals. We expect that the results of the analysis shall enable us to determine the shock impact on the …

Persistent link: https://www.econbiz.de/10010742147

Consumption Smoothing Channels in Open Economies

Asdrubali, Pierfederico; Kim, Soyoung - Institute of Economic Research, Korea University - 2007

investments, inventories and trade balance). The estimation is conducted in a VAR framework, in which the minimal identifying …

Persistent link: https://www.econbiz.de/10005786101

Emerging Asia: Decoupling or Recoupling

Lee, Jong-Wha; Park, Cyn-Young; Kim, Soyoung - Office of Regional Economic Integration, Asian … - 2009

global levels. Then, by employing a panel vector autoregression (VAR) model, we estimate the degree of real economic …

Persistent link: https://www.econbiz.de/10008490638