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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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The size of good and bad volatility shocks does matter for spillovers
Bouri, Elie; Harb, Etienne - In: Journal of international financial markets, … 80 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013533155
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Volatility spillover effects of the US, European and Chinese financial markets in the context of the Russia-Ukraine conflict
Beraich, Mohamed; Amzile, Karim; Laamire, Jaouad; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-18
The present study aims to investigate the volatility spillover effects in the international financial markets before … Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY … methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover …
Persistent link: https://www.econbiz.de/10013459985
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How is the ECB's quantitative easing transmitted to the financial markets?
Aloui, Donia; Ben Maatoug, Abderrazek - In: Studies in economics and finance 41 (2024) 2, pp. 268-285
Persistent link: https://www.econbiz.de/10015049545
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Innovation in return transmission and performance comparison between the five biggest Euro area stock markets
Fonseca, José Soares da - In: International economics and economic policy : IEEP 10 (2013) 3, pp. 393-404
Persistent link: https://www.econbiz.de/10010197725
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International transmission of shocks and African forex markets
Huang, Shoujun; Bossman, Ahmed; Gubareva, Mariya; … - In: Energy economics 131 (2024), pp. 1-18
heterogeneously depends on oil and GPR innovations. We also provide empirical evidence that return and volatility shock transmission … African forex markets. To gauge the dynamics of shock transmission, we employ the TVP-VAR connectedness model using daily data … spanning over the period 2000-2023. We show that shock transmission between oil-exporting and oil-importing countries …
Persistent link: https://www.econbiz.de/10015046270
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Shock and volatility transmissions between bank stock returns in Romania : evidence from a VAR-GARCH approach
Ulici, Maria; Chaibi, Anissa; Rault, Christophe - In: The journal of applied business research 30 (2014) 3, pp. 689-699
Persistent link: https://www.econbiz.de/10010370930
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Asymmetric dynamic spillover effect between cryptocurrency and China's financial market : evidence from TVP-VAR based connectedness approach
Cao, Guangxi; Xie, Wenhao - In: Finance research letters 49 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013478628
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Good and bad volatility spillovers : an asymmetric connectedness
BenSaïda, Ahmed - In: Journal of financial markets 43 (2019), pp. 78-95
Persistent link: https://www.econbiz.de/10012316301
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Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model
Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more … sensitive to bad news indicating that negative information shock heightens market risk more than positive shock due to increased …
Persistent link: https://www.econbiz.de/10014516032