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Stock Market Interdependence, Contagion, and the U.S. Financial Crisis : The Case of Emerging and Frontier Markets

Samarakoon, Lalith P. - 2015

This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...

Persistent link: https://www.econbiz.de/10013037982

Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh

Hasan, Dr. Md. Abu - 2019

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been … conventional index from the perspective of cointegration and volatility spillover employing ARDL bounds testing cointegration … can predict its future price using any of the index prices. Univariate GARCH(1,1) model finds evidence of volatility …

Persistent link: https://www.econbiz.de/10012871545

Volatility Transmission between US and Latin American Stock Markets : Testing the Decoupling Hypothesis

Cardona, Laura - 2016

We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil … find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction … correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission …

Persistent link: https://www.econbiz.de/10012998833

Spillover effects between stock prices and exchange rates for the Central and Eastern European countries

Ngo Thai Hung - In: Global business review 23 (2022) 2, pp. 259-286

Persistent link: https://www.econbiz.de/10013256834

Linkages between European National Stock Markets During Trading and Non-Trading Hours

Doman, Małgorzata - 2020

The paper documents differences in the structures of dependence between stock markets during trading and non-trading hours. We study this issue on the basis of analysis of the dynamic dependence between five selected European stock markets during the period from 1997 to the beginning of 2013....

Persistent link: https://www.econbiz.de/10012856559

The impact of financial crisis on the short-term interaction betwee Balkan stock markets

Angelovska, Julijana - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 53-66

The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural...

Persistent link: https://www.econbiz.de/10011780296

Linear and Nonlinear Dynamic Linkages between Emerging Market Adrs and Their Underlying Stocks

Hunter, Delroy M. - 2004

I examine the causal linkages between the returns on emerging market ADRs, their underlying stocks, and changes in the relevant exchange rate. Using a linear VAR model with a cointegration constraint and a nonlinear causality test on daily data, I provide evidence of significant linear and...

Persistent link: https://www.econbiz.de/10014069925

Long Term vs. Short Term Comovements in Stock Markets : The Use of Markov-Switching Multifractal Models

Idier, Julien - 2010

Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...

Persistent link: https://www.econbiz.de/10013138021

Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis

Caporale, Guglielmo Maria - 2014

-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows …. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

Persistent link: https://www.econbiz.de/10013048822

Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis

Caporale, Guglielmo Maria - 2014

Persistent link: https://www.econbiz.de/10013050104