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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
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044
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Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities
Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine … between China and Mexico (SSE/MEX), and China and India (SSE/BSE) were 0.01 and 0.06, respectively. This implies that a $1 …
Persistent link: https://www.econbiz.de/10014500295
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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 … different segments of China’s stock markets for analysis. Our main objective was to examine the time-varying correlations … to the increasing investment demand of gold, the hedging effect of gold on China’s stock market has strengthened …
Persistent link: https://www.econbiz.de/10011759995
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Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market
Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011883257
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An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data
Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...
Persistent link: https://www.econbiz.de/10011883488
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
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/10012022063
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Conducta manada en el mercado bursátil de China y el impactodel COVID-19
Maquieira, Carlos; Espinosa Méndez, Christian - In: Estudios de economía 49 (2022) 2, pp. 199-229
(SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study …
Persistent link: https://www.econbiz.de/10013489813
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Does subprime crisis affect Chinese stock market returns?
Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173
This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...
Persistent link: https://www.econbiz.de/10009741543