Similar Search Results

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...

Persistent link: https://www.econbiz.de/10005556399

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices … work on contagion in the case of stock market indexes. …

Persistent link: https://www.econbiz.de/10005119158

A New Channel for Global Volatility Propagation

Chen, Shuning - 2020

This study compares two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect local volatility by changing its persistence over time....

Persistent link: https://www.econbiz.de/10012835899

On the Common Determinants of Volatility Persistence and Asymmetry

Chen, Shuning - 2019

This study presents empirical evidence that volatility persistence and asymmetry are jointly affected by market conditions such as return and volatility. Using 28 equity market indices in developed and emerging countries, we show that daily volatility persistence increases with returns,...

Persistent link: https://www.econbiz.de/10012892699

Impact of the Foreign Institutional Investments on Stock Market: Evidence from India

GARG, ASHISH; BODLA, B. S. - In: Indian Economic Review 46 (2011) 2, pp. 303-322

The present study is an attempt to determine the impact of Foreign Institutional Investments (FIIs) on Indian stock market as India has emerged as one of the most attractive investment destinations in Asia. To achieve the above objective, the study has utilized the daily data on stock market...

Persistent link: https://www.econbiz.de/10010548320

Interdependence between Eastern and Western European Stock Markets : Evidence from Intraday Data

Égert, Balázs; Kočenda, Evžen - 2007

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European (BUX, PX-50, WIG-20) stock markets. The novelty of our paper rests mainly on the use of...

Persistent link: https://www.econbiz.de/10014049163

Volatility spillover and international contagion of housing bubbles

Bago, Jean-Louis; Akakpo, Koffi; Rherrad, Imad; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between … the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of …'s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan's real estate …

Persistent link: https://www.econbiz.de/10012622423

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Measuring and Explaining the Volatility of Capital Flows towards Emerging Countries

Broto, Carmen - 2008

This paper analyzes the determinants of the volatility of different types of capital inflows to emerging countries. After calculating a variable that proxies capital flows volatility, we study its possible causality relations with a set of explanatory variables by type of flow through a panel...

Persistent link: https://www.econbiz.de/10012723297

Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets

Colavecchio, Roberta - 2009

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...

Persistent link: https://www.econbiz.de/10012718563

1
2
3
4
5
6
7
8
9
10
Next
Last