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Global Financial Crisis, COVID-19, Lockdown, and Herd Behavior in the US ESG Leader Stocks
Rubbaniy, Ghulame; Ali, Shoaib; Siriopoulos, Costas; … - 2021
Using data of the constituents of the MSCI USA ESG leader index, this study investigates the herding behavior in the US ESG stocks over the period from January 03, 2007 to September 30, 2020. Our results reveal a significant herding behavior in the US ESG leader stocks. Our findings also show...
Persistent link: https://www.econbiz.de/10013222725
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010986556
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010531821
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10011272625
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010398701
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Dynamic relationship between precious metals
Sensoy, Ahmet - In: Resources Policy 38 (2013) 4, pp. 504-511
metals (gold, silver, platinum and palladium) from 1999 to 2013. We reveal that the turbulent year of 2008 has no significant … effect on volatility levels of gold and silver however causes an upward shift in the volatility levels of palladium and … the volatility levels of gold and silver. …
Persistent link: https://www.econbiz.de/10010719890
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Forecasting base metal prices with exchange rate expectations
Pincheira, Pablo; Hardy, Nicolás - In: Journal of forecasting 42 (2023) 8, pp. 2341-2362
Persistent link: https://www.econbiz.de/10014432904
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The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
Kang, Sang Hoon - 2013
This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...
Persistent link: https://www.econbiz.de/10013076925
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FRM Financial Risk Meter for Emerging Markets
Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang K. - 2021
The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and...
Persistent link: https://www.econbiz.de/10013241460
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Precious metal prices : a tale of four U.S. recessions
Agnese, Pablo; Garcia-del-Barrio, Pedro; Gil-Alaña, Luis A. - 2023
This paper empirically examines the degree of persistence in four precious metal prices (i.e., gold, palladium …, platinum, and silver) during the last four U.S. recessions. Unit root tests and fractional integration techniques suggest that … gold still is the most prominent safe haven asset within this particular asset class. Our analysis highlights gold …
Persistent link: https://www.econbiz.de/10014246740