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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION
Syllignakis, Manolis; Kouretas, Georgios - William Davidson Institute, University of Michigan - 2006
. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short – term interdependencies between …
Persistent link: https://www.econbiz.de/10005677583
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The influence of terrorism risk on stock market integration : evidence from eight OECD countries
Narayan, Seema; Le, T.-H.; Sriananthakumar, Sivagowry - In: International review of financial analysis 58 (2018), pp. 274-259
Persistent link: https://www.econbiz.de/10012006460
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An analysis of CEE equity market integration and their volatility spillover effects
Ngo Thai Hung - In: European journal of management and business economics : … 29 (2020) 1, pp. 23-40
/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the … multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature …
Persistent link: https://www.econbiz.de/10012182589
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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...
Persistent link: https://www.econbiz.de/10012171036
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Co-movement among oil, stock, bond, and housing markets : an analysis of U.S., Asian, and European economies
Yunus, Nafeesa - In: International review of finance : the official journal … 23 (2023) 2, pp. 393-436
Persistent link: https://www.econbiz.de/10014326307
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Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data
Egert, Balazs; Kocenda, Evžen - 2005
We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of...
Persistent link: https://www.econbiz.de/10009476872
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Transition in Russia: It's Happening
Berkowitz, Daniel; DeJong, David N.; Husted, Steven - 1997
Working with 110 pairs of time series of state and market commodity prices in Russia, we search for signs of transition in Russia from a command to a market economy. Beginning with inter-city comparisons of state and market prices, we find that differences in the levels of these prices have...
Persistent link: https://www.econbiz.de/10009477244
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Spill over effects of futures contracts initiation on the cash market: a regime shift approach
Karathanassis, George; Sogiakas, Vasilios - In: Review of Quantitative Finance and Accounting 34 (2010) 1, pp. 95-143
Persistent link: https://www.econbiz.de/10008502648
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Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis
Karathanassis, George; Sogiakas, Vasilios - Volkswirtschaftliche Fakultät, … - 2007
This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the...
Persistent link: https://www.econbiz.de/10005787056
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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics … literature that the DCC model has no regularity conditions, and that the QMLE of the parameters of DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10011403535