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Dynamics of contagion and spillover effects : further evidence from major equity markets

Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10012665862

Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

Persistent link: https://www.econbiz.de/10011654569

Financial market interdependencies : a quantile regression analysis of volatility spillover

Rejeb, Aymen Ben; Arfaoui, Mongi - In: Research in international business and finance 36 (2016), pp. 140-157

Persistent link: https://www.econbiz.de/10011594319

Taiwan and U.S. equity market interdependence and contagion : evidence from four-factor model

Li, Chun-an; Lee, Min-Ching; Huang, Chin-sheng - In: The international journal of business and finance … 12 (2018) 2, pp. 95-115

Persistent link: https://www.econbiz.de/10011926727

Cascading effect of contagion in Indian stock market : evidence from reachable stocks

Sruthi, Rajan; Shijin, Santhakumar - In: IIMB management review 29 (2017) 4, pp. 235-244

Persistent link: https://www.econbiz.de/10011879680

Contagion risks in emerging stock markets : new evidence from Asia and Latin America

Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...

Persistent link: https://www.econbiz.de/10011960394

Volatility : as a driving factor of stock market co-movement

Özbekler, Ali Gencay - 2017

Persistent link: https://www.econbiz.de/10011657925

The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets

Thi Ngan Nguyen; Phan Thi Kieu Hoa; Parikh, Nirav - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 491-508

Persistent link: https://www.econbiz.de/10013350713

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10011471074

Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?

Zhou, Yuqin; Wu, Shan; Liu, Zhenhua - In: International journal of financial engineering 11 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014574963