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Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion

Billio, Monica; Caporin, Massimiliano - 2007

We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...

Persistent link: https://www.econbiz.de/10003912121

Detecting financial contagion using a new nonparametric measure of asymmetric comovements

Zhang, Feipeng; Xu, Yixiong; Yuan, Di - In: International review of economics & finance : IREF 89 (2024) 1, pp. 284-296

Persistent link: https://www.econbiz.de/10014446438

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New Zealand, Hong Kong, Chinese, Taiwan, and Japanese capital markets due to Australian catastrophe. In the first stage, we employed two-variable vector autoregression (VAR) model for...

Persistent link: https://www.econbiz.de/10011597973

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates : The Asian Crisis vs. the Global Crisis

Han, Young Wook - 2016

dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is …

Persistent link: https://www.econbiz.de/10013006577

COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

Persistent link: https://www.econbiz.de/10015338449

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the … US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost …

Persistent link: https://www.econbiz.de/10012388066

Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations

Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022

We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...

Persistent link: https://www.econbiz.de/10013453687

Measuring stock market contagion : local or common currency returns?

Mink, Mark - In: Emerging markets review 22 (2015), pp. 18-24

Persistent link: https://www.econbiz.de/10011304204

Volatility spillovers and determinants of contagion : exchange rate and equity markets during crises

Leung, Henry; Schiereck, Dirk; Schroeder, Florian - In: Economic modelling 61 (2017), pp. 169-180

Persistent link: https://www.econbiz.de/10011736825

Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … maxima at times of global world events (2001: 9/11-attacks, 2003: Iraq war, SARS, etc). The Japanese market switches … provides a way to quantify the evolvement of interdependencies in the global market, to evaluate a world financial network and …

Persistent link: https://www.econbiz.de/10009354737