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Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

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

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 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 … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

Persistent link: https://www.econbiz.de/10011296721

The generalized asymmetric dynamic covariance model

Goeij, Peter de; Marquering, Wessel A. - In: Finance research letters 2 (2005) 2, pp. 67-74

Persistent link: https://www.econbiz.de/10002883177

The determinants of asymmetric volatility

Wu, Guojun - In: The review of financial studies 14 (2001) 3, pp. 837-859

Persistent link: https://www.econbiz.de/10001602980

What Causes Correlations of Equity Returns to Change Over Time? A Study of the US and the Russian Equity Markets

Jithendranathan, Thadavillil - 2010

Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were …

Persistent link: https://www.econbiz.de/10013138532

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

Persistent link: https://www.econbiz.de/10013066427

Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market

Li, Xiaoming - 2015

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...

Persistent link: https://www.econbiz.de/10013024205

Impact of innovations in Indian and US stock markets on frontier markets of Africa, Middle East and South Asia

Khandelwal, Risha; Jithendranathan, Thadavillil; Singh, … - In: Finance India : the quarterly journal of Indian … 34 (2020) 2, pp. 469-484

Persistent link: https://www.econbiz.de/10012669888

Dynamic transmissions between the U.S. and equity markets in the MENA countries : new evidence from pre- and post-global financial crisis

Maghyereh, Aktham I.; Awartani, Basel; Hilu, Khalil Al - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 123-138

Persistent link: https://www.econbiz.de/10011574365

Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22

Persistent link: https://www.econbiz.de/10011647590