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Structural Breaks in Volatility Spillovers between International Financial Markets : Contagion or Mere Interdependence?
Maderitsch, Robert - 2015
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous...
Persistent link: https://www.econbiz.de/10013033228
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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 … bull market conditions. Our study documents the evidence of market-wide herding during the global financial crisis, COVID …
Persistent link: https://www.econbiz.de/10013222725
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Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011597965
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...
Persistent link: https://www.econbiz.de/10012893224
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Spillovers between Twitter Uncertainty Indexes and sector indexes : evidence from the US
El Khoury, Rim; Alshater, Muneer Maher - In: Borsa Istanbul Review 22 (2022) 5, pp. 961-974
The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...
Persistent link: https://www.econbiz.de/10013426712
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Financial Market Determinants of Dynamic Herding in North-American Energy Market
Rubbaniy, Ghulame; Ali, Shoaib; Abdennadher, Sonia; … - 2022
This study analyses the dynamics of intentional and fundamental herding and its non-linear determinants in the North … presence of herding in North-American energy market without any exception to global financial crisis, COVID-19, lockdown, and … post-lockdown episodes. It's worth noting that herding is mainly motivated by intentional drivers rather than fundamental …
Persistent link: https://www.econbiz.de/10013405441
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Herding Behavior in the Stock Market of Bangladesh : An Examination of Equity Markets
Khan, Faysal Ahmad; Imam, Mahmood Osman - 2023
This study tried to document Herding Behavior in the stock market of Bangladesh following the investigation of Paulo … study used the Cross-Sectional Absolute Deviation (CSAD) to measure the Herding Behavior in the context of the Bangladesh … stock market. The findings of the study, suggest herding behavior does exist in our market. Results based on daily data …
Persistent link: https://www.econbiz.de/10014254714
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Dynamic Herding Behavior in Pacific-Basin Markets : Evidence and Implications
Chiang, Thomas Chinan - 2017
This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of … herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market … performance, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying …
Persistent link: https://www.econbiz.de/10012971593
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Dynamic Herding Behavior in Pacific-Basin Markets : Evidence and Implications
Chiang, Thomas Chinan - 2014
This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of … herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market … performance, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying …
Persistent link: https://www.econbiz.de/10013063704
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Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India
Shah, Anand; Bahri, Anu - 2021
This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4.0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH models. We also assess the impact of Global...
Persistent link: https://www.econbiz.de/10013229520