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Spillovers and portfolio risk management of gold and stock markets : evidence from emerging Latin American markets
Yousaf, Imran; Ali, Shoaib; Abbas, Faisal - In: Macroeconomics and finance in emerging market economies 15 (2022) 2, pp. 160-176
Persistent link: https://www.econbiz.de/10013350324
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Linkages between gold and Latin American equity markets: Portfolio implications
Yousaf, Imran; Hanif, Hasan; Ali, Shoaib; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 237-251
Purpose - The authors aim to examine the mean and volatility linkages between the gold market and the Latin American … the crises periods. The volatility transmission is found to be bidirectional between the gold and stock markets of Brazil … and Chile during the US financial crisis. Furthermore, the volatility spillover is unidirectional from Brazil to gold and …
Persistent link: https://www.econbiz.de/10013192204
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10011410546
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets …
Persistent link: https://www.econbiz.de/10012309325
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Cojumps and Asset Allocation in International Equity Markets
Arouri, Mohamed - 2018
This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...
Persistent link: https://www.econbiz.de/10012907781
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The Rise of Global Stock Market Crash Probabilities
Markwat, Thijs D. - 2012
This paper examines the effects of increased interdependence between international stock markets on the probability of global crashes. Global crashes are detrimental to investors, because during such crashes diversification opportunities evaporate. We use three different copulas with different...
Persistent link: https://www.econbiz.de/10013103842
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Asymmetric High-Frequency Dynamic Connectedness and Time-Frequency Dependence Among Chinese Stock and Major Commodity Markets Around the COVID-19 Pandemic
Zeng, Hongjun; Lu, Ran - 2022
dependence among the Chinese stock market, and gold and corn is weaker in the short term, but strengthens in the medium term …
Persistent link: https://www.econbiz.de/10013295939
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High-Frequency Volatility Connectedness and Time-Frequency Correlation among Chinese Stock and Major Commodity Markets around COVID-19
Zeng, Hongjun; Lu, Ran - 2022
This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns...
Persistent link: https://www.econbiz.de/10013405070
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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...
Persistent link: https://www.econbiz.de/10012895183