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Quantile coherency networks of international stock markets

Baumöhl, Eduard; Shahzad, Syed Jawad Hussain - 2019

international equity market diversification and risk management. …

Persistent link: https://www.econbiz.de/10012124708

COVID-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy : Fresh Evidence from the Wavelet-Based Approach

Sharif, Arshian - 2020

stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence … of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility … over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US …

Persistent link: https://www.econbiz.de/10012837151

The Impact of the Us Stock Market on the Romanian Stock Market in the Context of the Financial Crisis

Nistor, Costel - 2012

This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock...

Persistent link: https://www.econbiz.de/10013099858

Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for …

Persistent link: https://www.econbiz.de/10011306093

An Early Warning Signal of Financial Crisis by Using the Deepness and Liquidity in Stock Markets

Erdogan, Oral - 2012

can be a signal of heightened risk of financial crisis …

Persistent link: https://www.econbiz.de/10013106862

Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007

Ibrahim, Boulis Maher - 2014

In this study we analyse the evolution of interdependence and relative influence of major international stock markets in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using the framework of the Foreign Information Transmission (FIT)...

Persistent link: https://www.econbiz.de/10013045195

Contagion Effects of the U.S. Subprime Crisis on International Stock Markets

Hwang, Inchang - 2010

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

Persistent link: https://www.econbiz.de/10013149007

Vaccine Initiation Rate and Volatility in the International Stock Market during COVID-19

Cong Nguyen To, Bao; Khac Quoc Nguyen, Bao; Van Thien … - 2021

We examine the role of the vaccine initiation rate in mitigating the international stock market volatility during COVID-19. Our findings reflect that the positive effect of the vaccine initiation rate assists in stabilizing the international stock markets. This possible effect is stronger for...

Persistent link: https://www.econbiz.de/10013323605

Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

Persistent link: https://www.econbiz.de/10013277308

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...

Persistent link: https://www.econbiz.de/10012939609

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