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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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GLOBALIZATION, FINANCIAL CRISIS AND CONTAGION: TIME - DYNAMIC EVIDENCE FROM FINANCIAL MARKETS OF DEVELOPING COUNTRIES
ASONGU, Simplice A. - In: Journal of Advanced Studies in Finance III (2013) 2, pp. 131-139
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10010604536
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Contagion among Central and Eastern European Stock Markets during the Financial Crisis
BARUNÍK, Jozef; VÁCHA, Lukáš - In: Czech Journal of Economics and Finance (Finance a uver) 63 (2013) 5, pp. 443-453
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our … lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. …
Persistent link: https://www.econbiz.de/10010726613
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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …
Persistent link: https://www.econbiz.de/10005791976
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GLOBALIZATION, FINANCIAL CRISIS AND CONTAGION: TIME - DYNAMIC EVIDENCE FROM FINANCIAL MARKETS OF DEVELOPING COUNTRIES
ASONGU, Simplice A. - In: Journal of Advanced Studies in Finance III (2012) 2, pp. 131-139
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10010698843
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Correlation Analysis of Financial Contagion: What One Should Know before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …
Persistent link: https://www.econbiz.de/10005467302
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Volatility spillovers between stock and energy markets during crises : a comparative assessment between the 2008 global financial crisis and the Covid-19 pandemic crisis
Jebabli, Ikram; Kouaissah, Noureddine; Arouri, Mohamed - In: Finance research letters 46 (2022) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10013341502
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Asymmetric dynamic conditional correlation approach to financial contagion : a study of Asian markets
Rajwani, Shegorika; Kumar, Dilip - In: Global business review 17 (2016) 6, pp. 1339-1356
Persistent link: https://www.econbiz.de/10011665161
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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10010286429
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The changing role of emerging and frontier markets in global portfolio diversification
Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...
Persistent link: https://www.econbiz.de/10014233132