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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 : open access journal 3 (2015) 2, pp. 215-232
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …
Persistent link: https://www.econbiz.de/10011296721
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Co-movement and interaction effects across the monetary, foreign exchange and stock markets : evidence from China
Zhao, Xuejin; Zhang, Han - In: Inventi impact: emerging economies (2018) 1, pp. 45-53
Persistent link: https://www.econbiz.de/10012241621
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A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
Daugherty, Mary Schmid; Jithendranathan, Thadavillil - In: Journal of multinational financial management 32/33 (2015), pp. 95-115
Persistent link: https://www.econbiz.de/10011540118
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Returns, volatilities, and correlations across mature, regional, and frontier markets : evidence from South Asia
Amin, Abu S.; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 50 (2014) 3, pp. 5-27
Persistent link: https://www.econbiz.de/10010464049
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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade frict...
Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413579
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Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
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Exogenous variables in dynamic conditional correlation models for financial markets
Schopen, Jan-Hendrik - 2012
Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …
Persistent link: https://www.econbiz.de/10009698136
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Stock and bond returns correlation in Korea : local versus global risk during crisis periods
Park, Keehwan; Fang, Zhongzheng; Ha, Young Ho - In: Journal of Asian economics 65 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012257798
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Putting the "C" into crisis : contagion, correlations and copulas on EMU bond markets
Philippas, Dionisis; Siriopoulos, Costas - In: Journal of international financial markets, … 27 (2013), pp. 161-176
Persistent link: https://www.econbiz.de/10010411745
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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/10011663407