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Volatility Spillovers between Major International Financial Markets During the COVID-19 Pandemic
Wang, Dong - 2020
This paper studies the dynamic change of volatility spillovers between several major international financial markets … during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility …
Persistent link: https://www.econbiz.de/10012828891
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Bond market spillover networks during the global pandemic : what we learned from ASEAN-4 markets
Uddin, Mohammed Gazi Salah; Yahya, Muhammad; Park, Donghyun - 2023
. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and … volatility connectedness between ASEAN-4 and regional and global markets at different time horizons. …
Persistent link: https://www.econbiz.de/10013546175
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The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets
Morina, Fisnik; Misiri, Valdrin; Dinaj, Saimir; Grima, Simon - In: Business, mangagement and economics engineering : BMEE 22 (2024) 1, pp. 17-32
Russian invasion of Ukraine have significantly impacted Gold market dynamics. Inflation significantly impacts volatility … shocks have a higher asymmetric effect. The VIX positively affects Gold market volatility, suggesting a perceived safe …Purpose - The study examines global Gold market performance and correlations between COVID-19, the Russian invasion …
Persistent link: https://www.econbiz.de/10015052561
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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and … sample consists of fve prospective safe-haven assets-gold, bitcoin, the euro, the Japanese yen, and the Swiss franc-and fve … primary world stock market indices-the S&P 500, Financial Times Stock Exchange (FTSE) 100, DAX, STOXX Europe 600, and Nikkei …
Persistent link: https://www.econbiz.de/10014541628
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Realized volatility spillovers between energy and metal markets : a time-varying connectedness approach
Cuñado Eizaguirre, Juncal; Gabauer, David; Gupta, Rangan - In: Financial innovation : FIN 10 (2024), pp. 1-17
. Further more, we fnd that crude oil was the main net transmitter of shocks before COVID-19 while heating oil, gold, and silver … during crises. Furthermore, they indicate that accurate forecasts of the volatility of several commodities, such as natural …
Persistent link: https://www.econbiz.de/10014530244
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 … causality between stock market and gold price. In addition, there is a unidirectional relationship between the stock market and … the USD exchange rate, while the gold price and the USD exchange rate are completely independent of each other. Meanwhile …
Persistent link: https://www.econbiz.de/10014500215
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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...
Persistent link: https://www.econbiz.de/10013256277
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period
Ghorbel, Achraf; Jeribi, Ahmed - In: Eurasian economic review : a journal in applied … 11 (2021) 3, pp. 449-467
Persistent link: https://www.econbiz.de/10012616018
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Searching for Safe Havens during the COVID-19 Pandemic : Determinants of Spillovers between Islamic and Conventional Financial Markets
Yarovaya, Larisa - 2020
further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these …. COVID-19, Oil and gold are strong predictors of conventional-Islamic markets spillovers, while Bitcoin is not a significant …
Persistent link: https://www.econbiz.de/10012830289