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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10010270472
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003887350
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003891055
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Time Varying Volatility Indexes and Their Determinants : Evidence from Developed and Emerging Stock Markets
Prasad, Nalin - 2014
This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis...
Persistent link: https://www.econbiz.de/10013047334
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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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Emerging Markets Are Catching Up : Economic or Financial Integration?
Akbari, Amir - 2019
We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...
Persistent link: https://www.econbiz.de/10012901190
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What Explains Volatility Spillovers in the Financial Systems of Emerging Market Countries : Co-Movement, Transmission, or Contagion?
Ha, Jongrim - 2020
generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. The paper also … transmission, and contagion, by specifying alternative models that restrict the mean equation of the GARCH model. The results … about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an …
Persistent link: https://www.econbiz.de/10012855235
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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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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …
Persistent link: https://www.econbiz.de/10012226706