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Network Connectedness, Uncertainty and Net Spillover between Financial and Commodity Markets

Kang, Sang Hoon; Al Mamun, Md; Uddin, Gazi Salah; Yoon, … - 2023

We measure the return connectedness in US policy uncertainty, equity and commodity market between January 1990 to December 2015, with a specific focus on the net spillover transmission from one assets class to another asset class. Applying Diebold and Yilmaz (2012, 2014), we perform both static...

Persistent link: https://www.econbiz.de/10014356138

Dynamic Risk Spillovers from Oil to Stock Markets : Fresh Evidence from GARCH Copula Quantile Regression-Based CoVar Model

Tian, Maoxi; M. Alshater, Muneer; Yoon, Seong-Min - 2023

This study proposes a GARCH copula quantile regression model to capture the downside and upside tail dependence between oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the nonlinearity of the tail dependence with the marginal...

Persistent link: https://www.econbiz.de/10014256552

Do Hedge and Merger Arbitrage Funds Actually Hedge? A Time-Varying Volatility Spillover Approach

Papathanasiou, Spyros; Vasiliou, Dimitrios; Magoutas, … - 2021

We examine the interaction between funds implementing hedge and merger arbitrage strategies and a set of traditional assets comprising equities, bonds, gold, crude oil, currency, commodities and real estate, by applying a time-varying spillover approach for the period 1/1/2010-7/31/2020. Results...

Persistent link: https://www.econbiz.de/10013230114

Volatility Spillover and Contagion Effects Between Eurodollar Future and Zero Coupons Markets : Evidence From Italy

Tsiaras, Konstantinos - 2021

Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and the zero coupons of Banca Fideuram. We consider the zero coupons of Banca Fideuram ending from 2018 to 2033. By employing a bivariate DCC-GARCH model, we show significant...

Persistent link: https://www.econbiz.de/10013228283

Forex and Equity Markets Spillover Effects Among USA, Brazil, Italy, Germany and Canada in the Aftermath of the Global Financial Crisis

Tsiaras, Konstantinos; Simos, Theodore - 2021

In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The...

Persistent link: https://www.econbiz.de/10013228332

Financial Contagion and Volatility Spillover : an exploration into Bitcoin Future and FOREX Future Markets

Tsiaras, Konstantinos - 2021

This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....

Persistent link: https://www.econbiz.de/10013228878

"Rational" or "Intuitive" : are behavioral biases correlated across stock market investors?

Kudryavtsev, Andrey; Cohen, Gil; Hon-Snir, Shlomit - In: Contemporary economics 7 (2013) 2, pp. 31-53

Human judgments are systematically affected by various biases and distortions. The main goal of our study is to analyze the effects of five well-documented behavioral biases—namely, the disposition effect, herd behavior, availability heuristic, gambler’s fallacy and hot hand fallacy—on the...

Persistent link: https://www.econbiz.de/10009770254

The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets

Kim, Suk-Joong - 2009

This paper examines the spillover effects of the U.S. Fed's and the European Central Bank (ECB)'s target interest rate news on the market returns and return volatilities of twelve stock markets in the Asia-Pacific region over the period 1999-2006. The news spillover effects on the returns are...

Persistent link: https://www.econbiz.de/10013156252

'Quantum Equilibrium-Disequilibrium' : Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Halperin, Igor - 2019

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

Persistent link: https://www.econbiz.de/10012898637

Institutional Herding in the Corporate Bond Market

Cai, Fang - 2013

We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously … documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven … by different factors. In particular, sell herding increases on negative news about bond ratings and corporate earnings …

Persistent link: https://www.econbiz.de/10013087481