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Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data
Kollias, Christos; Papadamou, Stephanos; Siriopoulos, Costas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being …
Persistent link: https://www.econbiz.de/10010553342
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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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Volatility Spillover Effects in European Equity Markets
BAELE, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2003
evidence for contagion from the US market to a number of local European equity markets during periods of high world market …
Persistent link: https://www.econbiz.de/10004982992
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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 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/10008583722
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics 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 (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the US to the other three markets; but no spillover...
Persistent link: https://www.econbiz.de/10011755278
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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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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10011559137
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Networks of Volatility Spillovers among Stock Markets
Baumöhl, Eduard; Kocenda, Ev en; Lyócsa, Stefan; … - 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/10011657197
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Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe
Fedorova, Elena; Saleem, Kashif - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 6, pp. 519-533
and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the … with Russia as well. …
Persistent link: https://www.econbiz.de/10008876452
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011664820