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Stock market synchronization : the role of geopolitical risk

Kazi Sohag; Vasilyeva, Rogneda; Urazbaeva, Alina; … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-15

Given the importance of stock market synchronization for international portfolio diversification, we estimate the degrees of co-movements among US, Chinese and Russian markets. By applying the TVP-VAR approach, we measure total and bivariate synchronization indices utilizing daily data from 1998...

Persistent link: https://www.econbiz.de/10013273439

Stock market synchronization and institutional distance

Guo, Nian-zhi; Tu, Anthony H. - In: Finance research letters 42 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10014581377

Global banks and crisis transmission

Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Perri, Fabrizio - In: Journal of international economics 89 (2013) 2, pp. 495-510

Persistent link: https://www.econbiz.de/10009719570

International transmission of financial shocks in an estimated DSGE model

Alpanda, Sami; Aysun, Uluc - In: Journal of international money and finance 47 (2014), pp. 21-55

Persistent link: https://www.econbiz.de/10010464046

Capital controls spillovers

Landi, Valerio Nispi - 2018

Persistent link: https://www.econbiz.de/10011941821

Has globalization really increased business cycle synchronization?

Monnet, Eric; Puy, Damien - 2016

Persistent link: https://www.econbiz.de/10011578301

Global banking, trade, and the international transmission of the great recession

Born, Alexandra; Enders, Zeno - In: The economic journal : the journal of the Royal … 129 (2019) 623, pp. 2691-2721

Persistent link: https://www.econbiz.de/10012118923

Global banking, trade, and the international transmission of the great recession

Born, Alexandra; Enders, Zeno - 2018

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …

Persistent link: https://www.econbiz.de/10011800166

Testing for financial spillovers in calm and turbulent periods

Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27

It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...

Persistent link: https://www.econbiz.de/10013348418

Triumph of the optimists : 101 years of global investment returns

Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2009

.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark …

Persistent link: https://www.econbiz.de/10014488074