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Global political ties and the global financial cycle
Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - Leibniz-Institut für Wirtschaftsforschung Halle - 2023
We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various...
Persistent link: https://www.econbiz.de/10014451331
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Global political ties and the global financial cycle
Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - 2024 - This Version: December 20, 2023
We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various...
Persistent link: https://www.econbiz.de/10014448309
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Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility
Caglayan, Mustafa Onur; Gong, Yuting; Xue, Wenjun - 2022
a sample of 23 economies. The regression results show that global EPU spillovers has a positive and significant effect …-markets-generated EPU spillovers on country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging …-markets-generated EPU spillovers. Furthermore, the significant and positive effect of EPU spillovers on the country-level stock market …
Persistent link: https://www.econbiz.de/10013406077
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Dynamic Co-movement and Spillover Among Global Financial Markets During COVID-19 : Evidence From Wavelet Coherence Analysis
Bai, Limiao; Gaggiato, Virgilio; Peres, Antonio; Felix, … - 2023
excellent tool to identify these dynamics, i.e., spillovers and risk contagion. Our empirical analysis utilizing daily data from …
Persistent link: https://www.econbiz.de/10014255279
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Cross-Border Capital Flows and Information Spillovers across the Equity and Currency Markets in Emerging Economies
Bathia, Deven; Demirer, Riza; Ferrer Lapeña, Roman; … - 2021
economies (EMEs) by (i) examining the nonlinear effects of capital flows on return spillovers between the stock and currency … international debt and equity flows on return spillovers across the equity and FX markets are largely concentrated at lower … the role of international capital flows as a facilitator of informational spillovers in emerging equity and currency …
Persistent link: https://www.econbiz.de/10013227691
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: Spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of …
Persistent link: https://www.econbiz.de/10013095613
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252
volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical …
Persistent link: https://www.econbiz.de/10011056986
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The Determinants of Extreme Commodity Prices
Kuralbayeva, Karlygash - 2012
Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...
Persistent link: https://www.econbiz.de/10013114046
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de/10014456134
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Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Xie, Qichang; Qin, Jingrui; Li, Jianwei - In: Energy strategy reviews 49 (2023), pp. 1-15
risk spillovers are caused by volatility in the oil market. In particular, the ability to predict systemic risk driven by … spillovers between the oil and global stock markets under bad and good volatility changes are more pronounced in the short term … and that risk spillovers are still dominated by bad volatility in each period. The oil market has a significant risk …
Persistent link: https://www.econbiz.de/10014548058