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Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...

Persistent link: https://www.econbiz.de/10012018228

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of … three leading energy commodities, namely crude oil, natural gas and ethanol, using intra-day data. The detailed analysis of …

Persistent link: https://www.econbiz.de/10011451515

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020

This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...

Persistent link: https://www.econbiz.de/10012254820

Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...

Persistent link: https://www.econbiz.de/10013177658

US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Abakah, … - 2021

Staples, Consumer Discretionary, Industrials, Basic Materials, Energy and Utilities from 1 January 2020 to 11 June 2021. The … assumption of white noise errors. By contrast, three indices (Basic Materials, Energy and Real Estate) are found to be highly … Rate have had a significant and positive effect on all sectors except Energy and Industrial, and similarly monetary and …

Persistent link: https://www.econbiz.de/10012799686

Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

Persistent link: https://www.econbiz.de/10013470342

Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach

Benedictow, Andreas; Hammersland, Roger - 2022

We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...

Persistent link: https://www.econbiz.de/10013480202

The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012599250

Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion

Billio, Monica; Caporin, Massimiliano - 2007

We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...

Persistent link: https://www.econbiz.de/10003912121

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426