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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...
Persistent link: https://www.econbiz.de/10013256277
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Do Sovereign Credit Ratings Influence Regional Stock and Bond Market Interdependencies in Emerging Countries?
Christopher, Rachel - 2013
We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...
Persistent link: https://www.econbiz.de/10013075061
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Contagion : How to Measure it?
Rigobon, Roberto - 2001
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10014036215
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Volatility, Time Varying Correlation and International Portfolio Diversification : An Empirical Study of Australia and Emerging Markets
Gupta, Rakesh - 2010
estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if …
Persistent link: https://www.econbiz.de/10013152875
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Is Average Correlation Related to Expected Returns : Evidence From Global Markets
Peterburgsky, Stanley - 2020
We examine whether average country-level stock market correlation is related to global equity returns. Previous … research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other …-level correlation does not appear to be related to global returns, and that the Roll (1977) critique is not responsible for this lack of …
Persistent link: https://www.econbiz.de/10012843246
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Local Currency Bond Returns in Emerging Market Economies and the Role of Foreign Investors
So, Inhwan - 2019
Foreign investors play a key role in sovereign bond markets in emerging market economies (EMEs), in part because their portfolio flows are sensitive to bond returns and are therefore pro-cyclical in nature. This note discusses the implications of the framework proposed by So et al (2019), which...
Persistent link: https://www.econbiz.de/10012870061
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Overlapping portfolio holdings and unique sources of emerging market risk
Tomtosov, Aleksandr - In: Borsa Istanbul Review 24 (2024) 1, pp. 201-217
in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust …
Persistent link: https://www.econbiz.de/10014494785
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868