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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the US to the other three markets; but no spillover...

Persistent link: https://www.econbiz.de/10011755278

The relationship between carry trade and asset markets in South Africa

Bonga-Bonga, Lumengo; Maake, Tebogo - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-13

This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves...

Persistent link: https://www.econbiz.de/10013200984

European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis

Corbet, Shaen; Twomey, Cian - In: European Financial and Accounting Journal 10 (2015) 3, pp. 15-34

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10011478761

Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market

Pyo, Dong-Jin - In: East Asian Economic Review (EAER) 21 (2017) 2, pp. 147-165

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

Persistent link: https://www.econbiz.de/10015397884

Volatility spillover and dynamic correlation between the carbon market and energy markets

Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of Business Economics and Management (JBEM) 20 (2019) 5, pp. 979-999

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and energy prices by considering three energy commodities, including oil, gas, and coal. The asymmetric BEKK model is employed for multi-phase analysis of EU ETS, yet only a little...

Persistent link: https://www.econbiz.de/10015401530

Midiendo la centralidad de los países y la integración comercial desde una perspectiva de red

Pérez Oviedo, Wilson; Cajas Guijarro, John - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 146-174

Most papers which study the world trade network use indicators that suffer from an absence of economic content. Understanding this problem, we propose an alternative methodology to describe the international trade using a network perspective, but recovering the economic interpretation. The...

Persistent link: https://www.econbiz.de/10014494502

The Economic Crisis Affects the Cohesion Policy and Slows Down the Migration in Europe

Feraru, Petronela Daniela - In: CES Working Papers 6 (2014) 2a, pp. 71-85

The economic crisis has made it difficult to achieve the key objectives of the European Union and the cohesion policy …-crisis period. All these issues highlight the need to reconsider the cohesion policy. In the present work, we are trying to … be successfully developed within the new cohesion policy for 2014-2020, starting from the compromises made for the …

Persistent link: https://www.econbiz.de/10012017151

The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading

Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas - In: Empirical Economics 66 (2023) 2, pp. 883-925

In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market...

Persistent link: https://www.econbiz.de/10015191387

Testing for financial spillovers in calm and turbulent periods

Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African Journal of Monetary and Economic Integration 18 (2018) 2, pp. 1-27

It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...

Persistent link: https://www.econbiz.de/10013362911

Co-Movement, portfolio diversification, investors' behavior and psychology: Evidence from developed and emerging countries' stock markets

Sahabuddin, Mohammad; Tabash, Mosab I.; Anagreh, Suhaib; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-15

The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors' decisions (behavior and psychology). We use frequency-time bands and multi-scale-based wavelet...

Persistent link: https://www.econbiz.de/10014332520