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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

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

Persistent link: https://www.econbiz.de/10010490457

Are Securitized Real Estate Returns More Predictable than Stock Returns?

Serrano, Camilo - 2010

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In conrtast to most of the literature on this issue, the analysis is not based on a...

Persistent link: https://www.econbiz.de/10013145161

The Impact of Derivative Markets on Asset Management and the Economy

Sammer, Bernhard - 2011

During the last decade, derivatives markets became an asset class of their own and influenced the financial landscape strongly. While the financial sector contributes positively to overall economic growth in many studies up to the mid nineties, a positive contribution of the financial sector to...

Persistent link: https://www.econbiz.de/10013130407

Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts

Joyeux, Roselyne - 2013

contagion hypothesis. The bubble periods of 2004-2005 are also associated with convergence towards a common trend in the EU …

Persistent link: https://www.econbiz.de/10013078126

Regional and Global Contagion in Real Estate Investment Trusts : The Case of the Financial Crisis of 2007-2009

Milunovich, George - 2012

Using a framework similar to Bekeart, Harvey and Ng (2005), we investigate contagion between real estate investment … contagion between twelve national REIT markets on the one hand, and broad equity indices on the other hand. In our analysis, we … increase in the frequency of contagion during the GFC. We find no evidence of contagion between the REITs and equities during …

Persistent link: https://www.econbiz.de/10013110642

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

Liquidity management of US global banks: Internal capital markets in the great recession

Cetorelli, Nicola; Goldberg, Linda - 2011

The recent crisis highlighted the importance of globally active banks in linking markets. One channel for this linkage is the liquidity management of these banks, specifically the regular flow of funds between parent banks and their affiliates in diverse foreign markets. We use the Great...

Persistent link: https://www.econbiz.de/10010287134

COVID-19 and cross-border contagion : trade and financial flows

Louati, Achraf; Firano, Zakaria; Adib, Fatine Filali - In: Research in globalization 4 (2022), pp. 1-9

In this article, we examine the effects of the COVID-19 pandemic on the dynamics of contagion in the economic and … financial spheres. The objective of the article is to confirm that the systemic nature of contagion risk is greater in extreme … situations than in normal situations. Through this study we want to highlight the nature of contagion and the transmission of …

Persistent link: https://www.econbiz.de/10013263021

Foreign branches of US global banks : geography, balance sheet structure and contagion

D'Avino, Carmela - 2016

This paper contributes to the understanding of the international financial linkages created by US banks by looking at the geographical composition and structure of the balance sheet of foreign branches. The empirical investigation, which is based on a novel dataset containing balance sheet...

Persistent link: https://www.econbiz.de/10011456838