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Determinants of Time Varying Co-Movements Among International Stock Markets During Crisis and Non-Crisis Periods

Asma, Mobarek - 2016

In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for...

Persistent link: https://www.econbiz.de/10012996921

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012845690

International Diversification During Financial Crises

Tai, Chu-Sheng - 2019

/methodology/approach – A conditional international CAPM with asymmetric multivariate GARCH-M specification is used to estimate international …

Persistent link: https://www.econbiz.de/10012862601

Can We Avoid Another Financial Crisis - Book Review

Gambles, Paul - 2022

Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...

Persistent link: https://www.econbiz.de/10014235935

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

Persistent link: https://www.econbiz.de/10014350927

EXCHANGE RATE REGIMES, GLOBALISATION AND THE COST OF CAPITAL IN EMERGING MARKETS

Rios, Antonio Diez de los - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to …

Persistent link: https://www.econbiz.de/10005827080

Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets

Ríos, Antonio Díez de los - Centro de Estudios Andaluces, Government of Andalusia - 2003

financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to …

Persistent link: https://www.econbiz.de/10005187577

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

Contagion and spillovers : new insights from the crisis : a joint publication with the Austrian Society for Bank Research

Backé, Peter (ed.); Gnan, Ernest (ed.); … - Contagion and Spillovers – New Insights from the …; … - 2010

year's subject of "Contagion and Spillovers – New Insights from the Crisis" turned out to be particularly topical, as first …

Persistent link: https://www.econbiz.de/10011706561

Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

Persistent link: https://www.econbiz.de/10010222446