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Financial contagion during global financial crisis and covid-19 pandemic : the evidence from DCC-GARCH model

Thi Ngan Nguyen; Phan Thi Kieu Hoa; Nguyen Thanh Liem - In: Cogent economics & finance 10 (2022) 1, pp. 1-20

This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate...

Persistent link: https://www.econbiz.de/10013461351

Price volatility and volume spillovers between the Tokyo and New York stock markets

Itō, Takatoshi - 1993

Persistent link: https://www.econbiz.de/10000881895

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

Persistent link: https://www.econbiz.de/10012474348

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

rates, money supply, inflation rates, movements in world crude oil prices, volatility of the US and UK stock markets and …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

Persistent link: https://www.econbiz.de/10014501248

Price Contagion and Risk Spillover in the Global Commodities Market : COVID-19 Pandemic vs. Global Financial Crisis

Kamal, Md. Mostafa; Roca, Eduardo; Li, Bin; Chen, Lin; … - 2022

spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different …

Persistent link: https://www.econbiz.de/10013299352

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

The effect of COVID-19 pandemic on global stock market volatility : can economic strength help to manage the uncertainty?

Uddin, Moshfique; Chowdhury, Anup; Anderson, Keith; … - In: Journal of business research : JBR 128 (2021), pp. 31-44

Persistent link: https://www.econbiz.de/10012494435

COVID-19 pandemic waves and global financial markets : evidence from wavelet coherence analysis

Karamti, Chiraz; Belhassine, Olfa - In: Finance research letters 45 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014575517

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012226706

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

Persistent link: https://www.econbiz.de/10012317566