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Asymmetry and Spillover Effects in the North American Equity Markets
Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52
In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …
Persistent link: https://www.econbiz.de/10010295295
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Spillover and quantile linkage between oil price shocks and stock returns: New evidence from G7 countries
Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial Innovation 6 (2020) 1, pp. 1-26
, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March …
Persistent link: https://www.econbiz.de/10012602880
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Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: Sincronización de largo plazo, cambios estructurales y choques estocásticos
Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de Métodos Cuantitativos para la Economía y … 25 (2018), pp. 295-317
The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous …
Persistent link: https://www.econbiz.de/10011995022
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …
Persistent link: https://www.econbiz.de/10012611071
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10011559137
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What Drives the Stock Market Integration in the CEE-3?
Vyrost, Tomas; Baumöhl, Eduard; Lyocsa, Stefan - In: Ekonomicky casopis/Journal of Economics 61 (2013) 1, pp. 67-81
In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...
Persistent link: https://www.econbiz.de/10011622768
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The impact of financial crisis on the short-term interaction betwee Balkan stock markets
Angelovska, Julijana - In: UTMS Journal of Economics 8 (2017) 2, pp. 53-66
The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural...
Persistent link: https://www.econbiz.de/10011994710
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Modeling real exchange rate persistence in Chile
Salazar, Leonardo - In: Econometrics 5 (2017) 3, pp. 1-21
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...
Persistent link: https://www.econbiz.de/10011995239
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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 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/10011996104
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Dealer behaviour in the Euro money market during times of crisis
Fecht, Falko; Reitz, Stefan - In: Applied Economics 50 (2018) 48, pp. 5204-5219
This article shows how the recent money market disruptions with elevated counterparty risks and uncertainty about the fundamental value of liquidity influenced the trading behaviour of a key dealer in the Euro money market. The complete trading record in the unsecured segment of the money market...
Persistent link: https://www.econbiz.de/10011927942