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European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

Persistent link: https://www.econbiz.de/10011471074

Reviewing the Leverage Cycle

Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013

, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …

Persistent link: https://www.econbiz.de/10010895688

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Interbank transactions on the intraday frequency : - different market states and the effects of the financial crisis -

Demertzidis, Anastasios - 2019

The focus of this paper lies in the study of the intraday distribution of the number of transactions and transaction volume (absolute and mean per transaction) in the interbank credit market e-MID in different market states around the events of the financial crisis of 2007. The results show that...

Persistent link: https://www.econbiz.de/10012133514

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

Persistent link: https://www.econbiz.de/10012845690

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

Persistent link: https://www.econbiz.de/10014350927

Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance

Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

Persistent link: https://www.econbiz.de/10011482691

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Persistent link: https://www.econbiz.de/10012226706

Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

Persistent link: https://www.econbiz.de/10011597965

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

Persistent link: https://www.econbiz.de/10011874650

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