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The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …
Persistent link: https://www.econbiz.de/10014233046
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Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models
Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225
January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we …Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional … determine the best hedging instrument(s). Our findings prove that CDS indices are the best hedging instruments for both Islamic …
Persistent link: https://www.econbiz.de/10013183878
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Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?
Muharam, Harjum; Najmudin, Najmudin; Mawardi, Wisnu; … - In: Comparative Economic Research. Central and Eastern Europe 24 (2021) 1, pp. 103-121
derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure …
Persistent link: https://www.econbiz.de/10013204661
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and … Diebold-Yilmaz, Vector Autoregressive (VAR)framework enhanced by Greenwood-Nimmo block aggregation technique, we find that …
Persistent link: https://www.econbiz.de/10014001605
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Do Instabilities in national macroeconomic factors contribute to channeling volatility spillover from the global to the Islamic equity market?
Muharam, Harjum; Najmudin, Najmudin; Mawardi, Wisnu; … - In: Comparative economic research : Central and Eastern Europe 24 (2021) 1, pp. 103-121
derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure …
Persistent link: https://www.econbiz.de/10012664825
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and … Diebold-Yilmaz, Vector Autoregressive (VAR)framework enhanced by Greenwood-Nimmo block aggregation technique, we find that …
Persistent link: https://www.econbiz.de/10014232595
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011808239
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011590636
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Has 1997 Asian Crisis increased Information Flows between International Markets?
Climent, Francisco J.; Meneu, Vicente - Asociación Española de Economía y Finanzas … - 2001
The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the...
Persistent link: https://www.econbiz.de/10008493820
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In Search of Market Index Leaders: Evidence from World Financial Markets
Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008
Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices …
Persistent link: https://www.econbiz.de/10005621659