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Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets

Mensi, Walid; Boubaker, Ferihane Zaraa; Al-Yahyaee, … - In: Finance research letters 25 (2018), pp. 230-238

Persistent link: https://www.econbiz.de/10012003543

Financial globalization and market volatility : an empirical appraisal

Cordella, Tito; Ospino Rojas, Anderson - 2017

Persistent link: https://www.econbiz.de/10011730431

A global look into stock market comovements

Inaba, Kei-Ichiro - In: Review of world economics 156 (2020) 3, pp. 517-555

Persistent link: https://www.econbiz.de/10012433063

Revising the impact of global commodity prices and global stock market volatility shocks : effects across countries

Kang, Wensheng; Ratti, Ronald A.; Vespignani, Joaquin - 2020

Persistent link: https://www.econbiz.de/10012317080

Global geopolitical risk and volatility connectedness among China's sectoral stock markets

Pan, Changchun; Zhang, Weiqi; Wang, Weiqiang - In: Finance research letters 58 (2023) 3, pp. 1-12

Persistent link: https://www.econbiz.de/10014631415

Historical volatility of advanced equity markets : the role of local and global crises

Goswami, Samrat; Gupta, Rangan; Wohar, Mark E. - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436967

Dynamic relations between housing markets, stock markets, and uncertainty in global cities : a time-frequency approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Uddin, … - 2022

Persistent link: https://www.econbiz.de/10013366320

The effect of US uncertainty shock on international equity markets : the role of the global financial cycle

Salisu, Afees A.; Gupta, Rangan; Adediran, Idris A. - In: Review of Economic Analysis : REA 15 (2023) 2, pp. 139-159

We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 advanced and emerging countries (besides the US). In this...

Persistent link: https://www.econbiz.de/10014310354

Volatility Connectedness Between Global COVOL and Major International Volatility Indices

Xu, Danyang; Hu, Yang; Corbet, Shaen; Goodell, John W. - 2023

fluctuations of connectedness between COVOL and each implied volatility indices are highly dependent on periods of exceptional … common volatility (COVOL) [Engle and Campos-Martins, 2023] and four major asset price implied volatility measures using a TVP …This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global …

Persistent link: https://www.econbiz.de/10014350494

Global Geopolitical Risk and Volatility Connectedness Among China's Sectoral Stock Markets

Pan, Changchun; Zhang, Weiqi; Wang, Weiqiang - 2023

causal effect of global geopolitical risk on the dynamic volatility connectedness within China's sectoral stock markets. The … results reveal volatility connectedness among China’s stock market sectors, and the industry, optional consumption, and … exhibits significant nonlinear causality effects on both the overall volatility connectedness among sectors and the net …

Persistent link: https://www.econbiz.de/10014352547