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Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Persistent link: https://www.econbiz.de/10009770247

Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … 2010. We found that while the developed ``western'' markets (U.S., U.K., Germany), are highly correlated, the …

Persistent link: https://www.econbiz.de/10009354737

Co-movements of sector index returns in the world's major stock markets in bull and bear markets : portfolio diversification implications

Meriç, İlhan; Ratner, Mitchell; Meriç, Gülser - In: International review of financial analysis 17 (2008) 1, pp. 156-177

Persistent link: https://www.econbiz.de/10003765315

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brannas, Kurt - 2009

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find...

Persistent link: https://www.econbiz.de/10013155485

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Asgharian, Hossein - 2019

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...

Persistent link: https://www.econbiz.de/10012899727

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...

Persistent link: https://www.econbiz.de/10014501248

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014501255

Exploring Dynamic Causal Linkages between Major Stock Exchanges of Asia and Established Markets of UK, USA, Germany, and Japan - a Comparative Analysis of Pre and Post Era of Globa...

Salim, Sajid; Baig, Mirza Aqeel; Lal, Irfan - 2022

with well-established stock markets of Germany, United Kingdom, United States of America and Japan. Impact of global …

Persistent link: https://www.econbiz.de/10013306957

Stock market evidence on the international transmission channels of US monetary policy surprises

Maurer, Tim Dominik; Nitschka, Thomas - 2021

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

Persistent link: https://www.econbiz.de/10012520011

Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using...

Persistent link: https://www.econbiz.de/10011306093