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Interplay of crises : unpacking intraday spillovers in oil and European equities in the shadow of the COVID-19 and the Ukraine-Russia war

Alshater, Muneer Maher; Hanif, Waqas; El Khoury, Rim; … - In: Borsa Istanbul Review 24 (2024) 4, pp. 747-771

This study investigates the time-varying frequency of spillovers between European stock markets and oil during the …, 2018, we analyze high-frequency data at a 5-min interval to analyze the interplay between crude oil market returns and the …, industrials, insurance, oil and gas, retail, real estate, technology (tech), telecommunication (telecom), and utilities. The …

Persistent link: https://www.econbiz.de/10014635385

Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS

Ji, Qiang; Liu, Bing-Yue; Zhao, Wan-Li; Fan, Ying - In: International review of financial analysis 68 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012301045

Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

Persistent link: https://www.econbiz.de/10011594437

GARCH based VaR estimation : an empirical evidence from BRICS stock markets

Guptha, Sivakiran; Rao, R. Prabhakar - In: Theoretical and applied economics : GAER review 26 (2019) 4/621, pp. 201-218

Persistent link: https://www.econbiz.de/10012432615

Diversification potential of Asian frontier, BRIC emerging and major developed stock markets : a wavelet-based value at risk approach

Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, … - In: Emerging markets review 32 (2017), pp. 130-147

Persistent link: https://www.econbiz.de/10011803251

New insights into the role of global factors in BRICS stock markets : a quantile cointegration approach

Wang, Ningli; You, Wan-hai - In: Economic systems 47 (2023) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10014317425

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

Persistent link: https://www.econbiz.de/10012794261

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Impact of COVID on the stock market : a study of BRIC countries

Kharbanda, Varuna; Jain, Rachna - In: International Journal of Financial Markets and … 8 (2021) 2, pp. 169-184

Persistent link: https://www.econbiz.de/10012598661