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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - 2011
heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10011410521
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10011410546
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010265964
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Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010271150
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Time-varying co-movements and contagion effects in asian sovereign CDS markets
Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379
We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian …
Persistent link: https://www.econbiz.de/10011572880
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Does gold act as a hedge and a safe haven for China's stock market?
Chen, Ke; Wang, Meng - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-18
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis....
Persistent link: https://www.econbiz.de/10011759995
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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Frontier Stock Markets : Local vs Global Factors
Blackburn, Douglas W. - 2017
We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...
Persistent link: https://www.econbiz.de/10012961374
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Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2019
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012901804