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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial … Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional … correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure …
Persistent link: https://www.econbiz.de/10011960394
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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study
Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592
The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...
Persistent link: https://www.econbiz.de/10012505328
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...
Persistent link: https://www.econbiz.de/10013500945
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The impact of trading liquidity on the rate of return on emerging markets : the example of Poland and the Baltic countries
Gniadkowska-Szymańska, Agata - In: E-Finanse : finansowy kwartalnik internetowy 13 (2017) 4, pp. 136-148
Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a...
Persistent link: https://www.econbiz.de/10011900049
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...
Persistent link: https://www.econbiz.de/10012021528
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014232595
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Financial integration into EU : the Romanian case
Bozkurt, İbrahim; Akman, Engin - In: Amfiteatru economic : an economic and business research … 18 (2016) 42, pp. 269-285
The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed...
Persistent link: https://www.econbiz.de/10011842988
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Time-varying co-movements and contagion effects in asian sovereign CDS markets
Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379
We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian … countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six …
Persistent link: https://www.econbiz.de/10011572880
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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
-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …
Persistent link: https://www.econbiz.de/10013256277
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Contagion of the subprime financial crisis on frontier stock markets : a copula analysis
Mohti, Wahbeeah; Dionísio, Andreia Teixeira Marques; … - In: Economies : open access journal 7 (2019) 1/15, pp. 1-14
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula … occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the …
Persistent link: https://www.econbiz.de/10012020525